Table 1: The unconditional mean monthly returns on the SMB factor. The value in the brackets reports the value of the -test for zero mean. Bold text indicates mean monthly returns that are statistically significantly different from zero at the 5% level.

Month(s) Mean return

All together 0.25 (0.02)
Non-January 0.06 (0.56)
January 2.32 (0.00)