Quick Hand Study, from Kim Zussman
If you compare SP500 monthly returns for Novembers (1950-09) for mid-term election years ("1") or non-mid term election years ("0"), election Novembers were higher but not significantly so:
Two-sample T for ret
mid
terms N Mean StDev SE Mean
0 45 0.0117 0.0452 0.0067
1 15 0.0284 0.0418 0.011 T=1.32
However factoring in years with Democrat executive and congress, years with zero FED rate, years after housing bubble, and years with QE(X) on tap, N goes down significantly.