Predictable Dynamics in the Small Stock Premium

Table 2

The mean monthly returns on the SMB factor conditional on the sign of the market return during the preceding month. The means are given in percents. The value in the brackets reports the 𝑃 value of the (two-tailed) 𝑡-test for zero mean. The 𝑡-test for equal means reports the value of the 𝑡-statistics of the hypothesis test for equal conditional means against the alternative that the mean conditional on MKT^𝑚_𝑡−1>0 is greater than the mean conditional on MKT^𝑚_𝑡−1≤0. The value in the brackets reports the 𝑃 value of the (one-tailed) test for equal means. Bold text indicates values that are statistically significant at the 5% level.

Month(s)	Mean return conditional on		𝑡-test for equal; means
	MKT^𝑚𝑡−1≤0	MKT^𝑚𝑡−1>0
All together	−0.45 (0.01)	0.69 (0.00)	5.35 (0.00)
Non-January	−0.64 (0.00)	0.53 (0.00)	5.39 (0.00)
January	3.01 (0.00)	2.10 (0.00)	−1.04 (0.16)