TY - JOUR T1 - Understanding the Stable Components of Seasonality in the Size Effect JF - The Journal of Portfolio Management DO - 10.3905/jpm.2022.1.363 SP - jpm.2022.1.363 AU - Boris Fays AU - Georges Hübner AU - Marie Lambert Y1 - 2022/05/18 UR - https://pm-research.com/content/early/2022/05/18/jpm.2022.1.363.abstract N2 - This article employs a sequential portfolio sorting procedure, called DSN, to factor size characteristics into returns. This leads to narrower portfolios than the original Fama–French (FF) small and big SMB components. The DSN sorting uncovers a purely seasonal part of the global size premium due to a January effect. The stocks that are common to the FF and DSN small-cap portfolios are smaller and of lower quality than those that are only retained by the FF procedure. This phenomenon supports a tax-loss-pruning hypothesis, in which investors discard small-cap stocks with the lowest quality around the year end for tax reasons. ER -