Leaving firm A after a month for a job at Firm b which is way better

I just accepted an offer from BNY and have been here for a month and just got a way better offer at Goldman Sachs. What do I do? How messed up is it to leave after a month? Is the jump up to a better firm risk pissing off an 18 person office in a small city? Will the rewards that come with working at GS outweigh the risk of leaving BNY? 

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