We study the seasonality pattern of stock returns within the year. We found that while overall the size premium
is small after adjusting for delisting bias, the January returns are still larger than returns from remaining months
and it is more significant for small sized companies. This obvious conflict is caused by the consistent <i>negative</i>
returns around September, October and November. And the absolute value for small sized companies during
these months are larger than large size companies. Extending to different time period and using different delisting
returns do not change this pattern. We argue that demand pressure cause the results.