Table 8: Mean returns on the SMB factor for all months together (denoted by ), non-January months (denoted by ), 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 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 value of the (two-tailed) -test for zero mean. Bold text indicates values that are statistically significant at the 5% level.

Months
All together Non-January January

All years 0.25 (0.02) 0.06 (0.56) 2.29 (0.00) 0.75
Years with 0.96 (0.00) 0.73 (0.00) 3.42 (0.00) 0.23
Years with 0.63 (0.00) 0.77 (0.00) 0.89 (0.06) 0.22