| Variables | January | Non-January | ||||
| Coefficient | t statistic | p value | Coefficient | t statistic | p value | |
| Intercept | −0.3440 | −0.21 | 0.8373 | 0.4980 | 0.70 | 0.4841 |
| Size | −0.1650 | −0.86 | 0.4095 | −0.3610 | −4.36 | 0.0001*** |