January effect for small cap stcoks

I would like your help to get the "R" that i can use in "R markdown" for my final class project. i am trying to show "small- capitalization" stocks observe higher return in month of January than any other months. The motive behind this move is individual investors selling losses before tax return and buying stocks in January because of year end bonus. On top of that, I am trying to show Fama - French 3 market model.

in simple words, i am trying to replicate the paper by:


The January Effect
Author(s): Mark Haug and Mark Hirschey
Source: Financial Analysts Journal , Sep. - Oct., 2006, Vol. 62, No. 5 (Sep. - Oct., 2006), pp. 78-88