Others Say so--A small-cap with money. "The stocks that are sold off at year's end tend to be "small-caps" -- stocks of relatively small companies, which don't show up in the Dow, the S&P; or the other most commonly cited market indexes. Further, once the sell-off occurs, there's no reason the rebound (if there is one) can't occur before New Year's, in which case the January effect is actually a December effect.
That's not entirely empirical sociology, but could be thought plausible, and possibly noted over the years.