Using improved methodology and an expanded research design, we examine whether the small firm/January effect is declining over time due to market efficiency. First,we find that January returns are smaller after 1963ndash;1979, but have simply reverted to levels that existed before that time....

Using improved methodology and an expanded research design, we examine whether the small firm/January effect (Keim, D. B. (1983). Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics 12:13-32), is declining over time due to market...