Abstract: Individual stocks with daily closing price just above round numbers (e.g., $6.1) outperform stocks just below (e.g, $5.9) by 24.6 bps over next day, which translates to an annualized return of 61%! This return pattern is extremely robust to various stock characteristics and international samples. We provide evidence to link these predictable price movements to limit order clustering: prices just above (below) round numbers are supported (resisted) by a clustering of limit orders at these psychologically significant levels. This finding reveals a profound impact of order clustering (mostly by retail investors) on random price movement 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.