Predictable Dynamics in the Small Stock Premium

Table 8

Mean returns on the SMB factor for all months together (denoted by 𝜇_All), non-January months (denoted by 𝜇_non-Jan), and January months. The mean returns are reported for all years, years with a positive return on the SMB factor, and years with a negative annual return on the SMB factor. The fraction |(𝜇_All−𝜇_non-Jan)/𝜇_All| helps to assess how much of the size effect can be attributed to the January effect. The means are given in percents. The value in the brackets reports the 𝑃 value of the (two-tailed) 𝑡-test for zero mean. Bold text indicates values that are statistically significant at the 5% level.

	Months			|(𝜇All−𝜇non-Jan)/𝜇All|
	All together	Non-January	January
All years	0.25 (0.02)	0.06 (0.56)	2.29 (0.00)	0.75
Years with SMB^𝑎𝑇>0	0.96 (0.00)	0.73 (0.00)	3.42 (0.00)	0.23
Years with SMB^𝑎𝑇≤0	−0.63 (0.00)	−0.77 (0.00)	0.89 (0.06)	0.22