The mechanism here is more concrete than most calendar effects: automatic contributions to retirement accounts, index fund rebalancing and month-end institutional flows arrive on a predictable schedule.
Studies have found a meaningful share of long-run equity returns concentrated in this short window, which sounds dramatic until you consider how noisy the remaining days are and how much the result depends on the exact definition of the window.
Even granting the effect, the edge per instance is small relative to costs for most retail traders. Its more useful role is as context for why certain days see unusual flows, rather than as a basis for a strategy.
Related: seasonality, january-effect, santa-claus-rally, sample-size, window-dressing