Table 5: The values of the -statistics of the pairwise hypothesis test (two-sample two-tailed -test) for equal 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 values are given in brackets. Bold text indicates values that are statistically significant at the 5% level.

Conditional on

All months together
0.00 (1.00) 4.26 (0.00) 0.20 (0.84) 2.26 (0.03)
4.26 (0.00) 0.00 (1.00) 5.15 (0.00) 3.39 (0.00)
−0.20 (0.84) 5.15 (0.00) 0.00 (1.00) 3.68 (0.00)
2.26 (0.03) 3.39 (0.00) 3.68 (0.00) 0.00 (1.00)

Non-January months
0.00 (1.00) 4.96 (0.00) −0.90 (0.37) 3.29 (0.00)
4.96 (0.00) 0.00 (1.00) 4.81 (0.00) 3.39 (0.00)
0.90 (0.37) 4.81 (0.00) 0.00 (1.00) 3.14 (0.00)
3.29 (0.00) 3.39 (0.00) 3.14 (0.00) 0.00 (1.00)

January months
0.00 (1.00) 1.19 (0.25) 2.38 (0.03) 2.36 (0.04)
−1.19 (0.25) 0.00 (1.00) 1.21 (0.24) 0.97 (0.35)
2.38 (0.03) −1.21 (0.24) 0.00 (1.00) −0.56 (0.58)
2.36 (0.04) −0.97 (0.35) 0.56 (0.58) 0.00 (1.00)