Abstract: Individual stocks with daily closing prices slightly above round numbers (e.g., $6.1) outperform those slightly below (e.g., $5.9) by 24.6 basis points over the next day, representing an annualized return of 61%. This pattern is extremely robust across different price levels, stock sizes, liquidity, exchanges, and historical subperiods, and is prevalent across intraday half-hour intervals and 18 foreign equity markets. We provide evidence linking these predictable price movements to limit order clustering: prices just above (below) round numbers are supported (resisted) by an excessive volume of limit orders at these round levels, which existing studies have shown are primarily placed by retail investors. This finding reveals the profound impact of order clustering and retail investor behavior on random price movements and 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.