Does the January Effect exist? The CXO Advisory looks at the S&P Composite Stock Index from January 1871 to November 2008 and concludes in the affirmative, albeit with a caveat.

We’ve had the kind of year where small caps could see a nice rebound in January. This so-called January Effect, goes one theory, is tied to tax-loss selling at the end of the foregoing year. The selling dampens prices for underperforming stocks at year’s end and results in a January ...