[burnafter182]

As it's told by Mandelbrot, the January effect was identified. Rather quickly it was exploited to the point where it no longer existed because the market exerted pressures to counteract it in the process of exploiting it.

"Consider three cases. First, suppose a clever chart-reader thinks he has spotted a pattern in the old price records—say, every January, stock prices tend to rise. Can he get rich on that information, by buying in December and selling in January? Answer: No. If the market is big and efficient then others will spot the trend, too, or at least spot his trading on it. Soon, as more traders anticipate the January rally, more people are buying in December—and then, to beat the trend for a December rally, in November. Eventually, the whole phenomenon is spread out over so many months that it ceases to be noticeable. The trend has vanished, killed by its very discovery. In fact, in 1976 some economists spotted just such a pattern of regular January rallies in the stocks of small companies. Many investors close their losing positions towards the end of the year so they can book the loss as a tax deduction—and the market rebounds when they reinvest early in the new tax year. The effect is most pronounced on small stocks, which are more sensitive to small money movements. Alas, before you rush out to trade on this trend, you should know that its discovery seems to have killed it. After all the academic hoopla over it, it no longer shows up as clearly in price charts."

-Benoit Mandelbrot, The Misbehavior of Markets

https://en.wikipedia.org/wiki/January_effect

[Stratoscope]

This reminds me so much of a Christmas present hack my sister and I invented when we were kids. We used to open all our presents on Christmas morning.

Then we begged "Can't we open a couple of presents on Christmas Eve?" So we got to open a few that night.

Next year was "Well, how about Christmas Eve Morning? Maybe just one or two?"

And the next year was "The 23rd is practically Christmas Eve, isn't it? It's just a few hours apart. Can't we open all our presents on the evening of the 23rd?" And we did!

We didn't push it past that: we were already so happy that we got our presents a day and a half before all our friends!

[miki123211]

As far as I'm aware, this is why markets are considered a second-order chaotic system. In those systems, measurements of how the system performs can actually influence what happens next. This is in contrast to first order systems, i.e. the weather, which are hard to simulate, but the results of the simulations don't affect their accuracy.

[kbelder]

"First get rich; then, publish".

If that's not a law, it should at least be a rule-of-thumb.