Table 4: The mean monthly returns on the SMB factor conditional on the signs of both the market return during the preceding calendar year and the preceding month. The means are given in percents. The value in the brackets reports the value of the (two-tailed) -test for zero mean. Bold text indicates values that are statistically significant at the 5% level.

Month(s) Mean return conditional on

All together −0.40 (0.23) 1.76 (0.00) 0.48 (0.02) 0.40 (0.00)
Non-January 0.88 (0.01) 1.66 (0.00) 0.54 (0.01) 0.22 (0.08)
January 4.70 (0.00) 2.93 (0.01) 1.33 (0.16) 1.88 (0.00)