Investor Behavior at the 52 Week High
47 Pages Posted: 18 Aug 2017 Last revised: 23 May 2018
Date Written: 20 May, 2018
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: Suggested Citation