Investor Behavior at the 52 Week High

Journal of Financial and Quantitative Analysis

73 Pages Posted: 18 Aug 2017 Last revised: 15 Jul 2023

See all articles by Joshua Della Vedova

Joshua Della Vedova

The University of San Diego - Knauss School of Business

Andrew R. Grant

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

P. Joakim Westerholm

University of Sydney Business School

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

Della Vedova, Joshua and Grant, Andrew R. and Westerholm, P. Joakim, Investor Behavior at the 52 Week High (December 1, 2022). Journal of Financial and Quantitative Analysis, Available at SSRN: https://ssrn.com/abstract=3021585 or http://dx.doi.org/10.2139/ssrn.3021585

Joshua Della Vedova (Contact Author)

The University of San Diego - Knauss School of Business ( email )

5998 Alcala Park
San Diego, CA 92110-2492
United States

Andrew R. Grant

University of Sydney Business School - Discipline of Finance ( email )

H69 Codrington Business School Building
Sydney, NSW 2006
Australia
61-2-9036-6238 (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

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