"The Efficient Market Hypothesis on Trial: A Survey", by Philip S. Russel and Violet M. Torbey, contains references to interesting research and commentary on:Read further:
The January Effect. "...higher mean returns in January as compared to other month...support a tax-loss selling explanation of the effect."
Other Seasonal Effects, e.g., holiday and turn of the month effects. "US stock returns are significantly higher at the turn of the month, defined as the last and first three trading days of the month...returns are, on average, higher the day before a holiday
RoboTrader: Market Anomalies