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- Title
Investor Behavior at the 52-Week High.
- Authors
Della Vedova, Joshua; Grant, Andrew; Westerholm, P. Joakim
- Abstract
This study uncovers how household investors intensify the effect of the 52-week high (52WH): increased volume and momentum-like returns at the 52WH price. Using daily household and institutional trading data, we find that households sharply increase their selling, particularly with limit orders at the 52WH price. This behavior is indicative of anchoring, as it is robust to past returns and intensified by proximity, market uncertainty, and salience of the 52WH. This uninformed limit order selling at and prior to the 52WH leads to a doubling of unconditional 52WH anomaly returns. Post-event returns benefit institutions, which act as counterparties.
- Subjects
INDIVIDUAL investors; STOCK prices; HOUSEHOLDS &; economics; ANCHORING effect; ABNORMAL returns; LIMIT orders
- Publication
Journal of Financial & Quantitative Analysis, 2023, Vol 58, Issue 7, p2852
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S002210902200148X