The Investing Halloween Effect

It's not too much of a secret in stock market circles that the winter months are typically suited to much higher returns.  I thought I'd do a bit of research and find some articles discussing the effects sometimes dubbed the Halloween Effect. 

According to CX Advisory, a paper titled Seasonal, Size and Value Anomalies by Ben Jacobsen, Abdullah Mamun and Nuttawat Visaltanachoti examine the Halloween Effect and determine that in fact  in the period between 1924 - 2004, the market returns on average are nearly twice as high in the period following Halloween through the winter.

However, according to Mark Hulbert of Marketwatch in an article written in 2005 he claims that the Halloween Indicator has problems prior to 1970.  According to his research the Halloween period from Halloween to May day returns on average 8.36% after 1970 but prior to 1970 this same period returned 3.62% compared to 2.71% in the summer months.

There are a few problems with such a wide period.  I'd like to see studies done on the quarterly performance of Nov - Dec which I'm willing to bet far exceeds other other quarters.