Xiao Zhang
Ph.D. Candidate in Finance
Robert H. Smith School of Business
University of Maryland
Research Interests: Asset Pricing, Asset Management, Retail Trading, and Market Microstructure
Email: xz66@umd.edu
Links: SSRN
Embedded Files
Working Papers
Working Papers
Present: Transatlantic Doctoral Conference 2025 (scheduled), 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
Media Coverage: Money Stuff / Bloomberg
Abstract: Stocks that close just above a round number (e.g., $6.10) tend to rise and outperform those that close just below (e.g., $5.90) by 24.6 basis points the next day and 46.1 basis points over the following week. I attribute this predictability to limit order clustering: concentrated buy orders at round prices support stocks above the threshold, whereas concentrated sell orders restrain those below. The effect is robust to various firm characteristics, appears throughout intraday half‑hour intervals, and replicates in 18 international equity markets. Exogenous price shifts around stock splits and dividend payments provide causal evidence. Consistent with a retail‑trading channel, the spread is larger in stocks with heavy retail activity, and trades executed exactly at round numbers are smaller. Order clustering also slows the incorporation of earnings‑announcement news and contributes to short‑term return reversal. Overall, these findings reveal how a high‑frequency microstructure friction can shape return dynamics over much longer horizons.
Present: AFA 2025 (scheduled), 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.
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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