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Odd-Lot Transactions around the Turn of the Year and the January Effect
Edward A. Dyl and Edwin D. Maberly
The Journal of Financial and Quantitative Analysis
Vol. 27, No. 4 (Dec., 1992), pp. 591-604
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2331142
Page Count: 14
You can always find the topics here!Topics: Investors, Common stock, Stock sales, Bear markets, Taxes, Stock prices, Stock markets, Financial economics, Bull markets, Empirical evidence
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Assuming that individual investors account for most odd-lot transactions, we examine odd-lot 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.
The Journal of Financial and Quantitative Analysis © 1992 University of Washington School of Business Administration