St. Knut's Day is a holiday celebrated in Sweden and Finland on January 13 (and not in Denmark although King Knut's origin could suggest it). King Knut, or more commonly, Canute IV of Denmark, who ruled Denmark from 1080 -1086 and who claimed the throne of England, is honored as a saint for his virtue and generosity. He declared that Christmas should be celebrated for twenty days, officially ending the season on 13 January. The days between Christmas and Saint Knut's Day are filled with celebrations. Christmas trees are taken down on St. Knut's Day, and the candies and cookies that decorated the tree are eaten.
St Knut's feast day is recognized by the Roman Catholic Church as being on 19 January.
References - The Oxford Dictionary of Saints. Ed David High Farmer. Oxford University Press, 2004. See the entry on St Canute.