Penny Wise, Dollar Foolish: Buy–Sell Imbalances On and Around Round Numbers

Published Online:https://doi.org/10.1287/mnsc.1110.1364

References

  • Ahn H., Cai J., Cheung Y. Price clustering on the limit-order book: Evidence from the stock exchange of Hong Kong. J. Financial Markets (2005) 8(4):421–451CrossrefGoogle Scholar
  • Aitken M., Brown P., Buckland C., Izan H., Walter T. Price clustering on the Australian stock exchange. Pacific-Basin Finance J. (1996) 4(2–3):297–314CrossrefGoogle Scholar
  • Anderson E., Simester D. Effect of $9 price endings on retail sales: Evidence from field experiments. Quant. Marketing Econom. (2003) 1(1):93–110CrossrefGoogle Scholar
  • Bader L., Weinland J. Do odd prices earn money? J. Retailing (1932) 8(1):102–104Google Scholar
  • Bagnoli M., Park J., Watts S. Nines in the endings of stock prices. (2006) . Working paper, Purdue University, West Lafayette, INCrossrefGoogle Scholar
  • Ball C., Torous W., Tschoegl A. The degree of price resolution: The case of the gold market. J. Futures Markets (1985) 5(1):29–43CrossrefGoogle Scholar
  • Barberis N., Thaler R. A survey of behavioral finance. Handbook of the Economics of Finance (2003) (Elsevier Science, Amsterdam) . Chap. 18Google Scholar
  • Blattberg R., Neslin S.Sales Promotion: Concepts, Methods and Strategies (1990) (Prentice Hall, Englewood Cliffs, NJ) Google Scholar
  • Bourghelle D., Cellier A. Limit order clustering and price barriers on financial markets: Empirical evidence from Euronext. (2009) . Working paper, University of Lille, Lille, FranceGoogle Scholar
  • Brenner G., Brenner R. Memory and markets, or why are you paying $2.99 for a widget? J. Bus. (1982) 55(1):147–158CrossrefGoogle Scholar
  • Carslaw C. Anomalies in income numbers: Evidence of goal oriented behavior. Accounting Rev. (1988) 63(2):321–327Google Scholar
  • Chakravarty S., Harris S., Wood R. Decimal trading and market impact. (2001) . Working paper, Purdue University, West Lafayette, INCrossrefGoogle Scholar
  • Chiao C., Wang Z.-M. Price clustering: Evidence using comprehensive limit order data. Financial Rev. (2009) 44(1):1–29CrossrefGoogle Scholar
  • Chordia T., Roll R., Subrahmanyam A. Order imbalance, liquidity, and market returns. J. Financial Econom. (2002) 65(1):111–130CrossrefGoogle Scholar
  • Christie W., Schultz P. Why do NASDAQ market makers avoid odd-eighth quotes? J. Finance (1994) 49(5):1813–1840CrossrefGoogle Scholar
  • Curcio R., Goodhart C. The clustering of bid/ask prices and the spread in the foreign exchange market. (1991) . FMG Discussion Paper 110, Financial Markets Group, LondonGoogle Scholar
  • Gabor A.Pricing: Principles and Practices (1977) (Heinemann, London) Google Scholar
  • Gabor A., Granger C. Price sensitivity of the consumer. J. Advertising Res. (1964) 4(4):40–44Google Scholar
  • Harris L. A day-end transaction price anomaly. J. Financial Quant. Anal. (1989) 24(1):29–45CrossrefGoogle Scholar
  • Harris L. Stock price clustering and discreteness. Rev. Financial Stud. (1991) 4(3):389–415CrossrefGoogle Scholar
  • Hasbrouck J. Trading costs and returns for U.S. equities: Estimating effective costs from daily data. J. Finance (2009) 64(3):1445–1477CrossrefGoogle Scholar
  • Henker T., Wang J. On the importance of timing specifications in market microstructure research. J. Financial Markets (2006) 9(2):162–179CrossrefGoogle Scholar
  • Hirshleifer D. Investor psychology and asset pricing. J. Finance (2001) 56(4):1533–1597CrossrefGoogle Scholar
  • Huang R., Stoll H. The components of the bid-ask spread: A general approach. Rev. Financial Stud. (1997) 10(4):995–1034CrossrefGoogle Scholar
  • Ikenberry D., Weston J. Clustering in US stock prices after decimalisation. Eur. Financial Management (2007) 14(1):30–54Google Scholar
  • Johnson E., Johnson N., Shanthikumar D. Round numbers and security returns. (2007) . Working paper, University of California, Berkeley, BerkeleyCrossrefGoogle Scholar
  • Kahn C., Pennacchi G., Sopranzetti B. Bank deposit rate clustering: Theory and empirical evidence. J. Finance (2002) 54(6):2185–2214CrossrefGoogle Scholar
  • Kavajecz K. A specialist's quoted depth and the limit order book. J. Finance (1999) 54(2):747–771CrossrefGoogle Scholar
  • Kavajecz K., Odders-White E. Technical analysis and liquidity provision. Rev. Financial Stud. (2004) 17(4):1043–1071CrossrefGoogle Scholar
  • Knauth O. Considerations in the setting of retail prices. J. Marketing (1949) 14(1):1–12CrossrefGoogle Scholar
  • Lee C., Ready M. Inferring trade direction from intraday data. J. Finance (1991) 46(2):733–746CrossrefGoogle Scholar
  • Lee C., Radhakrishna B. Inferring investor behavior: Evidence from TORQ data. J. Financial Markets (2000) 3(2):83–112CrossrefGoogle Scholar
  • Monroe K.Pricing: Making Profitable Decisions (2003) (McGraw-Hill/Irwin, New York) Google Scholar
  • Neiderhoffer V. Clustering in stock prices. Oper. Res. (1965) 13(2):258–265LinkGoogle Scholar
  • Neiderhoffer V. A new look at clustering in stock prices. J. Bus. (1966) 39(2):309–313CrossrefGoogle Scholar
  • Niskanen J., Keloharju M. Earnings cosmetics in a tax-driven accounting environment: Evidence from Finnish public firms. Eur. Accounting Rev. (2000) 9(3):443–452CrossrefGoogle Scholar
  • Osborne M. F. M. Periodic structure in the Brownian motion of stock prices. Oper. Res. (1962) 10(3):345–379LinkGoogle Scholar
  • Ritter J. Behavioral finance. Pacific-Basin Finance J. (2003) 11(4):429–437CrossrefGoogle Scholar
  • Rosch E. Cognitive reference points. Cognitive Psych. (1975) 7(4):532–547CrossrefGoogle Scholar
  • Schindler R., Kirby P. Patterns of rightmost digits used in advertised prices: Implications for nine-ending effects. J. Consumer Res. (1997) 24(2):192–201CrossrefGoogle Scholar
  • Sewell M. Behavioral finance. (2010) . Working paper, University of Cambridge, Cambridge, UK. http://www.behaviouralfinance.net/behavioural-finance.pdfGoogle Scholar
  • Shiller R. From efficient markets theory to behavioral finance. J. Econom. Perspect. (2003) 17(1):83–104CrossrefGoogle Scholar
  • Shleifer A.Inefficient Markets: An Introduction to Behavioral Finance (2000) (Oxford University Press, Oxford, UK) CrossrefGoogle Scholar
  • Simaan Y., Weaver D., Whitcomb D. Market maker quotation behavior and pretrade transparency. J. Finance (2003) 58(3):1247–1267CrossrefGoogle Scholar
  • Simon H. Rational choice and the structure of environments. Psych. Rev. (1956) 63(2):129–138CrossrefGoogle Scholar
  • Simon H. A bounded-rationality model of rational choice. Models of Man, Social and Rational: Mathematical Essays on Rational Human Behavior in a Social Setting (1957) (Wiley, New York) Google Scholar
  • Stiving M., Winer R. An empirical analysis of price endings with scanner data. J. Consumer Res. (1997) 24(1):57–67CrossrefGoogle Scholar
  • Subrahmanyam A. Behavioural finance: A review and synthesis. Eur. Financial Management (2007) 14(1):12–29Google Scholar
  • Thomas J. Unusual patterns in reported earnings. Accounting Rev. (1989) 64(4):773–787Google Scholar
  • Thomas M., Morwitz V. Penny wise and pound foolish: The left-digit effect in price cognition. J. Consumer Res. (2005) 32(1):54–65CrossrefGoogle Scholar
  • Van Caneghem T. Earnings management induced by cognitive reference points. British Accounting Rev. (2002) 34(2):167–178CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.