Variables

January

Non-January

Coefficient

t statistic

p value

Coefficient

t statistic

p value

Panel A: A sub-period with bonus payments in January

Intercept

1.0279

0.25

0.8045

3.2355

1.75

0.0823^*

Size

−0.0970

−0.19

0.8534

−0.4210

−1.91

0.0584^*

Panel B: A sub-period with bonus payments in Non-January

Intercept

−12.0400

−1.37

0.2637

5.5253

1.89

0.0653^*

Size

1.5704

1.39

0.2589

−0.7400

−2.01

0.0503^*