In 1976 an academic paperJanuary Effect) on data from 1802 and found it was consistent up to the present time.found that equally weighted indices of all the stocks on the NYSE had significantly higher returns in January than in the other 11 months over the period 1904-1974. This indicated that small capitalisation stocks outperformed larger stocks in January. Over the following years many further papers were written confirming this finding. In 2006 a paper tested this effect (now called the
Does the January Effect work for UK stocks?
The following chart shows the cumulative performance from 1995 to mid-2015 of four stock indices in just the month of January. The four indices are: