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