"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