Variables

January

Non-January

Coefficient

t statistic

p value

Coefficient

t statistic

p value

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

Panel A1: The risk sub-portfolio with RISK1

Intercept

−1.3540

−0.41

0.6880

3.0672

1.57

0.1185

Size

0.0753

0.18

0.8607

−0.3840

−1.57

0.1184

Panel A2: The risk sub-portfolio with RISK2

Intercept

4.1311

1.26

0.2394

2.5110

1.34

0.1832

Size

−0.4650

−1.13

0.2894

−0.3110

−1.36

0.1762

Panel A3: The risk sub-portfolio with RISK3

Intercept

4.3340

0.83

0.4259

5.1407

2.41

0.0175**

Size

−0.4520

−0.66

0.5251

−0.6950

−2.64

0.0096***

Panel A4: The risk sub-portfolio with RISK4

Intercept

−1.8390

−0.27

0.7970

2.8487

1.41

0.1624

Size

0.3258

0.35

0.7316

−0.3790

−1.54

0.1255

Panel A5: The risk sub-portfolio with RISK5

Intercept

−3.4320

−0.49

0.6339

4.6439

2.23

0.0275**

Size

0.4839

0.49

0.6376

−0.6110

−2.41

0.0174**

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

Panel B1: The risk sub-portfolio with RISK1

Intercept

−7.4120

−0.90

0.4333

4.5232

1.20

0.2353

Size

0.7057

0.72

0.5255

−0.5620

−1.10

0.2769

Panel B2: The risk sub-portfolio with RISK2

Intercept

−9.9780

−0.79

0.4881

6.8104

2.19

0.0339**

Size

1.1215

0.70

0.5348

−0.9150

−2.35

0.0234**

Panel B3: The risk sub-portfolio with RISK3

Intercept

−7.6250

−1.10

0.3498

4.1927

1.23

0.2249

Size

0.8223

0.97

0.4023

−0.5960

−1.35

0.1833

Panel B4: The risk sub-portfolio with RISK4

Intercept

−9.6370

−0.84

0.4603

7.7107

2.04

0.0472**

Size

1.3314

0.90

0.4325

−0.9780

−2.03

0.0490**

Panel B5: The risk sub-portfolio with RISK5

Intercept

−16.9400

−2.11

0.1248

4.5945

1.43

0.1595

Size

2.6598

2.05

0.1324

−0.6890

−1.70

0.0970*