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.
Hence, the demand for odd-lot short selling is more stable in December which is consistent with the tax hedging hypothesis.
The change in odd-lot short selling was also related to the previous day price change.
The level and variability of odd-lot short selling increased around this time.
Also the change in odd-lot short selling is no longer related to the change in stock prices from the previous day.