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- W3118665909 abstract "Researchers have documented that individuals have a strong penchant for round numbers in a variety of settings, such as trading in financial markets. Beginning as early as the 1930s, empirical research has shown that security prices tend to cluster on round increments. This anomalous finding has persisted over time and in a wide range of different types of securities markets. We examine whether stocks with greater price clustering experience excess demand and consequently, negative return premia. Using a variety of traditional asset pricing tests, we find support for this argument as price clustering is associated with a robust, negative return premium. Our results are robust to transaction-level clustering, cross-sectional regressions, and multi-factor models." @default.
- W3118665909 created "2021-01-18" @default.
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- W3118665909 date "2021-01-07" @default.
- W3118665909 modified "2023-09-30" @default.
- W3118665909 title "Price Clustering, Preferences for Round Prices, and Expected Returns" @default.
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- W3118665909 doi "https://doi.org/10.1080/15427560.2020.1867143" @default.
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