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Odd-Lot Transactions around the Turn of the Year and the January Effect

Published online by Cambridge University Press:  06 April 2009

Edward A. Dyl  and
Edwin D. Maberly
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Abstract

Assuming that individual investors account for most odd-lot transactions, we examine oddlot purchases and sales around the turn of the year and find a pattern that is related to the well-known January effect in stock returns. A significant change in the ratio of odd-lot sales to odd-lot purchases occurs at the turn of the year, which supports the hypothesis that the January effect results from trading by individual investors. The trading patterns that we find are not due entirely to tax considerations.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 27 , Issue 4 , December 1992 , pp. 591 - 604
Copyright
Copyright © School of Business Administration, University of Washington 1992

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