Comparison Study, from Kim Zussman
Here is comparison of first 10 trading day return of each month (SPY 2000-2011) with first 10 days of just months of April:
Two-sample T for FOM10 AP vs FOM10
N Mean StDev SE Mean
FOM10 AP 11 0.0050 0.045 0.014 T=0.3
FOM10 124 0.0007 0.036 0.003
April "pre tax" period is higher than non-April months, but N.S.
Here is same comparison of last 10 days of each month with last 10 days of Aprils:
Two-sample T for EOM10 AP vs EOM10
N Mean StDev SE Mean
EOM10 AP 11 0.0088 0.030 0.009 T=1.3
EOM10 124 -0.0041 0.028 0.002
Last 10D for Aprils ("post-tax") are also higher than non-Aprils