Xiao Zhang
Ph.D. Candidate in Finance
Robert H. Smith School of Business
University of Maryland
Research Interests: Empirical Asset Pricing, Institutional Investors, and Market Microstructure
Email: xz66@umd.edu
Links: SSRN
Embedded Files
Working Papers
Working Papers
Present: CICF 2025 (scheduled), EasternFA 2025, SWFA 2025, AFA 2025 PhD Poster, SFA 2024, TwinBeech Capital, Wolfe Research 8th Annual Global Quantitative and Macro Investment Conference, University of Maryland
Abstract: Stocks with daily closing prices slightly above round numbers (e.g., $6.1) tend to rise and outperform stocks priced just below round numbers (e.g., $5.9) by 24.6 basis points the following day. This pattern is robust to various stock characteristics and is consistently observed over intraday half-hour intervals and in 18 international equity markets. I attribute this predictable movement to limit order clustering: stocks priced just above (or below) round numbers receive support (or resistance) from an excessive volume of limit orders clustered at round levels, primarily placed by retail investors. Moreover, this order clustering hinders the incorporation of public information into prices during post-earnings announcement periods and contributes to the short-term reversal effect. These findings reveal the profound impact of retail investor behavior on price dynamics and overall market efficiency.
Present: CICF 2025 (scheduled), SFS Cavalcade Asia-Pacific 2024, EUROFIDAI-ESSEC Paris December 2024, University of Maryland, CUHK-Shenzhen*, George Washington University*, HKUST*, University of Florida*, University of Macau*, University of Notre Dame* (*by coauthor)
Abstract: A disproportionately large fraction (70%) of the stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday momentum. Even after accounting for partial reversals on other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. The same-weekday momentum is hard to square with traditional momentum theories based on investor misreaction. Instead, we provide direct and novel evidence linking it to within-week seasonality and persistence in institutional trading. We also offer the first piece of direct evidence that seasonal fund flow drives seasonal institutional trading.Â
Work in Progress
Work in Progress
3. "Perpetual" Futures (with Albert "Pete" Kyle)
4. Informative Equity Price and Corporate Lending (with Brandon Yueyang Han)
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