Predictable Dynamics in the Small Stock Premium

Table 1

The unconditional mean monthly returns on the SMB factor. The value in the brackets reports the 𝑃 value of the 𝑡-test for zero mean. Bold text indicates mean monthly returns that are statistically significantly different from zero at the 5% level.

Month(s)	Mean return
All together	0.25 (0.02)
Non-January	0.06 (0.56)
January	2.32 (0.00)