JANUARY EFFECT



There are lots of citations for this. This one is from

http://stocks.miningco.com/library/weekly/aa121597.htm:



The January Effect

by Michael Griffis

Small-cap stocks usually outperform large-cap stocks from the end of

December through January.

This phenomenon is called The January Effect. Although short lived, it is

persistent. It has occurred for at least the last 15 years (probably longer),

despite the fact that it is widely known and frequently discussed.

The cause? Portfolio balancing and tax-loss selling, especially by mutual

and pension funds, may be responsible for much of the performance differences

between small cap and large capitalization stocks.

There is some research suggesting that the smaller the company, the more

pronounced the effect. In fact, up to half of the annual performance of many

small cap stocks may be attributable to The January Effect.

(...) A similar seasonal phenomenon--The Value Effect--occurs between

Value Stocks and Growth Stocks. Value Stocks outperform Growth Stocks during

the short transition from one year to the next. The Chicago Mercantile

Exchange has documented The Value Effect on their web site...



Another article (with links) can be found at

http://www.forbes.com/forbes/121696/5814392a.htm.



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