Is there such thing as the New Year Effect?

Some investors believe that stock price moves are fairly predictable during the last trading days of the year and the first few trading days of the new year. They say it's related to possible tax problems, the "window dressing" effect.

For tax purposes investors will sell their losers by the end of the year and so will institutions in order to improve their portfolios. But, companies are also buying winners at this time of year for the same reason. They want to compensate the effects of falling index prices. After the first of the year, companies will buy heavily to start building new portfolios, and individuals tend to buy at this time also. It would be interesting to track this from past performance and see what happens this year.