Variables | January | Non-January | ||||
Coefficient | t statistic | p value | Coefficient | t statistic | p value | |
Panel A: The bullish market | ||||||
Panel A1: The risk sub-portfolio with RISK1 | ||||||
Intercept | −0.5507 | −0.12 | 0.9065 | 5.3593 | 1.80 | 0.0763* |
Size | −0.1266 | −0.27 | 0.7944 | −0.7012 | −1.77 | 0.0807* |
Panel A2: The risk sub-portfolio with RISK2 | ||||||
Intercept | 1.7836 | 0.24 | 0.8158 | 5.4419 | 2.02 | 0.0472** |
Size | −0.1628 | −0.18 | 0.8666 | −0.6972 | −2.06 | 0.0429** |
Panel A3: The risk sub-portfolio with RISK3 | ||||||
Intercept | 1.9237 | 0.27 | 0.7996 | 5.5008 | 1.76 | 0.0831* |
Size | −0.0274 | −0.03 | 0.9778 | −0.7070 | −1.75 | 0.0835* |
Panel A4: The risk sub-portfolio with RISK4 | ||||||
Intercept | −3.7816 | −0.37 | 0.7224 | 7.4464 | 2.51 | 0.0140** |
Size | 0.7527 | 0.55 | 0.6004 | −0.9789 | −2.66 | 0.0095*** |
Panel A5: The risk sub-portfolio with RISK5 | ||||||
Intercept | −11.2442 | −1.19 | 0.2808 | 7.0571 | 2.40 | 0.0185** |
Size | 1.8650 | 1.32 | 0.2340 | −0.9296 | −2.51 | 0.0141** |
Panel B: The bearish market | ||||||
Panel B1: The risk sub-portfolio with RISK1 | ||||||
Intercept | −5.6190 | −1.19 | 0.2783 | −0.6678 | −0.35 | 0.7287 |
Size | 0.6374 | 0.99 | 0.3591 | 0.1195 | 0.51 | 0.6117 |
Panel B2: The risk sub-portfolio with RISK2 | ||||||
Intercept | −1.5838 | −0.30 | 0.7738 | 1.2150 | 0.63 | 0.5307 |
Size | 0.1389 | 0.22 | 0.8339 | −0.1520 | −0.63 | 0.5276 |
Panel B3: The risk sub-portfolio with RISK3 | ||||||
Intercept | −0.0895 | −0.02 | 0.9871 | 1.7211 | 0.87 | 0.3883 |
Size | −0.1486 | −0.23 | 0.8273 | −0.2540 | −1.02 | 0.3123 |
Panel B4: The risk sub-portfolio with RISK4 | ||||||
Intercept | −4.3524 | −0.68 | 0.5237 | 1.3335 | 0.68 | 0.5001 |
Size | 0.4735 | 0.59 | 0.5766 | −0.2059 | −0.84 | 0.4056 |
Panel B5: The risk sub-portfolio with RISK5 | ||||||
Intercept | −3.3381 | −0.53 | 0.6139 | 0.8958 | 0.46 | 0.6480 |
Size | 0.3461 | 0.40 | 0.7003 | −0.1551 | −0.64 | 0.5210 |