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.

Abstract: A disproportionately large fraction (70%) of stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday momentum. Even accounting for partial reversals in other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. This pattern is robust to different size filters, weighing schemes, time periods, and sample cuts. The same-weekday momentum is hard to square with traditional momentum theories based on investor mis-reaction. Instead, we provide direct and novel evidence that links it to within-week seasonality and persistence in institutional trading. Overall, our findings highlight institutional trading as an important driver of the stock momentum.