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* |