Predictable Dynamics in the Small Stock Premium

Table 5

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

Conditional on	MKT^𝑎𝑇−1≤0	MKT^𝑎𝑇−1≤0	MKT^𝑎𝑇−1>0	MKT^𝑎𝑇−1>0
	MKT^𝑚𝑡−1≤0	MKT^𝑚𝑡−1>0	MKT^𝑚𝑡−1≤0	MKT^𝑚𝑡−1>0
All months together
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1≤0	0.00 (1.00)	−4.26 (0.00)	0.20 (0.84)	−2.26 (0.03)
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1>0	4.26 (0.00)	0.00 (1.00)	5.15 (0.00)	3.39 (0.00)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1≤0	−0.20 (0.84)	−5.15 (0.00)	0.00 (1.00)	−3.68 (0.00)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1>0	2.26 (0.03)	−3.39 (0.00)	3.68 (0.00)	0.00 (1.00)
Non-January months
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1≤0	0.00 (1.00)	−4.96 (0.00)	−0.90 (0.37)	−3.29 (0.00)
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1>0	4.96 (0.00)	0.00 (1.00)	4.81 (0.00)	3.39 (0.00)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1≤0	0.90 (0.37)	−4.81 (0.00)	0.00 (1.00)	−3.14 (0.00)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1>0	3.29 (0.00)	−3.39 (0.00)	3.14 (0.00)	0.00 (1.00)
January months
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1≤0	0.00 (1.00)	1.19 (0.25)	2.38 (0.03)	2.36 (0.04)
MKT^𝑎𝑇−1≤0,MKT^𝑚𝑡−1>0	−1.19 (0.25)	0.00 (1.00)	1.21 (0.24)	0.97 (0.35)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1≤0	−2.38 (0.03)	−1.21 (0.24)	0.00 (1.00)	−0.56 (0.58)
MKT^𝑎𝑇−1>0,MKT^𝑚𝑡−1>0	−2.36 (0.04)	−0.97 (0.35)	0.56 (0.58)	0.00 (1.00)