Today odd-lot sales are just as likely to be made by professional traders as by individuals.
The empirical results from this study indicate that odd-lot short sales follow such a model.
Lakonishok and Maberly find that the ratio of odd-lot sales minus odd-lot purchases divided by New York Stock Exchange (NYSE) trading volume was highest on Mondays indicating that individual investors sell more shares on Monday than on any other day of the week and therefore appear to have more influence on the market on Mondays.
They observe that the ratio of odd-lot sales to odd-lot purchases is dramatically higher at the close of the year relative to the beginning of the subsequent year.
Dyl and Maberly also notice that the ratio of odd-lot sales to odd-lot purchases is extremely high two days before Christmas and two days before New Year's Day.
Aggregate daily odd-lot short selling data for the NYSE were obtained from various issues of Barron's for the period 1970 through 1995.
The dependent variable LPSHORTt is the natural logarithm of one plus the rate of change in the number of aggregate odd-lot shares sold short on the NYSE.
Lakonishok and Maberly (1990) observe that the ratio of odd-lot sales minus odd-lot purchases divided by New York Stock Exchange (NYSE) trading volume is highest on Mondays.
Two variables are assigned to represent odd-lot short sales in either December or January.
The change in odd-lot short sales should be positively related to this variable.
This variable was included in the model to determine whether odd-lot short sellers react in a belated manner to changes in stock prices.
The level of trading volume on the NYSE (LVOLD) is positively related to odd-lot selling activity.