Are retail investors less aggressive on small price stocks? - CEREFIGE - Centre Européen de Recherche en Économie Financière et Gestion des Entreprises
Article Dans Une Revue Journal of Financial Markets Année : 2021

Are retail investors less aggressive on small price stocks?

Résumé

We investigate whether number processing impacts the limit order aggressiveness of retail investors. When posting non-marketable orders, individual investors are less aggressive on small price stocks than on large price stocks. This difference is not explained by differences in liquidity and other usual drivers of order aggressiveness. No such difference exists for limit orders of high-frequency traders. The small price bias is detrimental to retail investors since it increases the costs borne when trading small price stocks.
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hal-03421009 , version 1 (22-07-2024)

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Carole Métais, Tristan Roger. Are retail investors less aggressive on small price stocks?. Journal of Financial Markets, 2021, pp.100685. ⟨10.1016/j.finmar.2021.100685⟩. ⟨hal-03421009⟩
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