@article {Fays138, author = {Boris Fays and Georges H{\"u}bner and Marie Lambert}, title = {Understanding the Stable Components of Seasonality in the Size Effect}, volume = {48}, number = {7}, pages = {138--155}, year = {2022}, doi = {10.3905/jpm.2022.1.363}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textendash}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.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/48/7/138}, eprint = {https://jpm.pm-research.com/content/48/7/138.full.pdf}, journal = {The Journal of Portfolio Management} }