Januaary effect - econometrics

[armbruster]

I'm doing an econometrics research project on the January effect.
My understanding is that at the turn of the year, a range of small cap stocks (and others) rise in price for an unknown reason - its an anomaly.
I do need to research the concept more, but can anyone take time out and advise me on how I would go about this?

I need to gather variables to explain an unexpected rise in the price of a stock - tax reasons, last quarters results, etc.

Can anyone give reasons as to why it occurs?

Also - I'm thinking of collecting data from the major exchanges and observing the January effect etc. But what variables should I come up with?

I'm a little confused.

Thank you.