I've heard of this idea before, but it's supposed to be males, as well as females. A quik check on wikipedia reveals that it's known as the Westermarck Effect, after anthropologist Edvard Westermarck.
The brief wiki article offers only one piece of evidence in support of the idea, and that's a study done with people raised on Israeli kibbutzim. The children there would have been raised collectively by age group, so they had a big pool of people to look at who were brought up in close proximity.
Out of almost 3,000 marriages between people in the kibbutz, only 14 were between two chldren raised together, and none between children raised together before the age of six.
I don't know how well supported the idea is in general, though.
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