Investor Behavior at the 52 Week High

47 Pages Posted: 18 Aug 2017 Last revised: 23 May 2018

See all articles by Josh Della Vedova

Josh Della Vedova

University of Sydney Business School

Andrew R. Grant

University of Sydney - Discipline of Finance, Faculty of Economics and Business; Financial Research Network (FIRN)

P. Joakim Westerholm

University of Sydney Business School; Financial Research Network (FIRN)

Date Written: 20 May, 2018

Abstract

We extend upon the previous studies of the 52 week high and explain how household disposition effect and anchoring behavior is responsible for both the volume spikes at the 52 week high and return continuation following it. Our data set allows recognition of household and institutional stock trading, from which we show households strongly sell with latent limit orders placed at the 52 week high price. This behavior is strengthened when the high is more salient and when under uncertainty. This household limit order selling is directly responsible for the post event momentum returns we see following the 52 week high. This anchoring behavior is very costly to households and fruitful to institutions who act as the counter-party to these trades.

Keywords: 52 week high, order submission, household behavior

JEL Classification: G02, G12

Suggested Citation

Della Vedova, Josh and Grant, Andrew R. and Westerholm, P. Joakim, Investor Behavior at the 52 Week High (20 May, 2018). 30th Australasian Finance and Banking Conference 2017; 9th Conference on Financial Markets and Corporate Governance (FMCG) 2018. Available at SSRN: https://ssrn.com/abstract=3021585 or http://dx.doi.org/10.2139/ssrn.3021585

Josh Della Vedova (Contact Author)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Andrew R. Grant

University of Sydney - Discipline of Finance, Faculty of Economics and Business ( email )

P.O. Box H58
Sydney, NSW 2006
Australia
61-2-9036-7991 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

P. Joakim Westerholm

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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