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Anatomy Of Behavioural Risk Seasonality In Equity

Table 4:

Panel A: Big Stocks
Variables/Months Overall First half of the year Second half of the year Test for Equality
Return Risk
C 0.0009 0.0008 0.0029 2.6653*** 1.2454***
DY 0.0011 -0.0031 0.0022
EPS 0.6143*** 0.6913*** 0.6116***
PE 0.6103*** 0.6245*** 0.6009***
CI -0.3098*** -0.1365 -0.5312**
LEI 0.1593*** 0.1759 -0.0634
LAI -0.0902** -0.1266* 0.0232
BCI 0.0022 -0.0068 0.0500
CSI -0.0442** -0.0470 -0.0285
FKLI 0.4821*** 0.4025*** 0.5347***
VOL 0.0077*** 0.0073 0.0075
Adjusted R2 0.6986 0.6921 0.7106
Panel B: Medium Stocks
Variables/Months Overall First half of the year Second half of the year Test for Equality
Return Risk
C -0.0007 0.0016 -0.0028 10.3623*** 1.0155
DY -0.0371*** -0.0727*** -0.0573***
EPS 0.4370*** 0.2966*** 0.3101***
PE 0.4469*** 0.3101*** 0.3392***
CI -0.4970*** -0.0921 -1.0935**
LEI 0.1104*** 0.1250 -0.0931
LAI 0.0798** 0.0285 0.5788**
BCI 0.0518*** 0.0427 0.0362
CSI -0.0562*** -0.1341** 0.1034
FKLI 0.5723*** 0.7778*** 0.6954***
VOL 0.0023 0.0135 0.0003
Adjusted R2 0.5766 0.5189 0.5329
Panel C: Small Stocks
Variables/Months Overall First half of the year Second half of the year Test for Equality
Return Risk
C -0.0023*** -0.0002 -0.0028 8.5361*** 1.0617***
DY -0.0920*** -0.1067*** -0.0573***
EPS 0.1891*** 0.0495*** 0.3101***
PE 0.2117*** 0.0640*** 0.3392***
CI -0.6135*** -0.2922 -1.0935**
LEI 0.0627 0.0536 -0.0931
LAI 0.1803*** 0.2256 0.5788**
BCI 0.0657*** 0.0202 0.0362
CSI 0.0229 -0.1267 0.1034
FKLI 0.7925*** 1.0975*** 0.6954***
VOL 0.0035 0.0228* 0.0003
Adjusted R2 0.4914 0.5186 0.5329
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