Investor Behavior at the 52 Week High
Journal of Financial and Quantitative Analysis
73 Pages Posted: 18 Aug 2017 Last revised: 15 Jul 2023
Date Written: December 1, 2022
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
Keywords: 52 week high, limit order, household behavior
JEL Classification: G02, G12
Suggested Citation: Suggested Citation