Table 3: The mean monthly returns on the SMB factor conditional on the sign of the market return during the preceding calendar year. The means are given in percents. The value in the brackets reports the value of the (two-tailed) -test for zero mean. The -test for equal means reports the value of the -statistics of the hypothesis test for equal conditional means against the alternative that the mean conditional on is greater than the mean conditional on . The value in the brackets reports the 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 -test for equal
means

All together 0.77 (0.00) 0.08 (0.45) 2.39 (0.01)
Non-January 0.49 (0.07) −0.08 (0.48) 1.93 (0.03)
January 3.77 (0.00) 1.83 (0.00) 2.31 (0.02)