Donald Keim's research presents evidence that the difference in performance between small capitalization stocks and large capitalization stocks is largest in the month of

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According to Donald Keim's research, the difference in performance between small cap stocks and large cap stocks is largest in the month of January. This is known as the "January effect," which suggests that small cap stocks tend to outperform large cap stocks in January. This could be due to investors selling their losing positions at the end of the year (tax-loss harvesting), leading to a decrease in prices of large cap stocks and an increase in prices of small cap stocks.

Donald Keim's Research Presents Evidence That the Difference in Performance