The US Size Premium Across Calendar Anomalies

Summary

This review summarizes research testing whether small-cap stocks continued to outperform large caps across calendar effects in US equities. The underlying study forms portfolios from the smallest and largest size groups and examines the return spread around monthly, seasonal, weekday, and specific-week patterns. It reports that the size premium appears alongside effects such as January, Halloween, October, turn-of-the-month, and weekday patterns, even as some calendar effects and the premium weaken over time.

The study tests a long historical sample, splits it into subperiods, uses both equal-weighted and value-weighted returns, and compares robust OLS with GARCH methods to address changing volatility. These checks are presented as evidence that findings do not hinge on one return construction, sample window, or model. The review also describes weaker or ambiguous results for some patterns, including sensitivity of the other-January effect to unusual years. Historical associations do not establish a current, tradable premium; the summary provides no transaction-cost analysis, and small-cap returns may reflect additional risk.

Key ideas

• The study examines the small-minus-large stock return spread across several calendar effects in US market history.
• It reports that size-related returns persist in multiple calendar patterns, although their magnitude has declined.
• The analysis compares subperiods, equal- and value-weighted portfolios, and OLS and GARCH models.
• Some findings are sensitive to unusual observations, and several calendar patterns are weaker or less certain.
• Historical calendar effects alone do not show that a strategy remains profitable after costs or risk adjustment.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.