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Are retail investors less aggressive on small price stocks?

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  • Métais, Carole
  • Roger, Tristan

Abstract

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.

Suggested Citation

  • Métais, Carole & Roger, Tristan, 2022. "Are retail investors less aggressive on small price stocks?," Journal of Financial Markets, Elsevier, vol. 59(PA).
    • Handle: RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000604
    DOI: 10.1016/j.finmar.2021.100685
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Retail investors; Limit orders; Order aggressiveness; Small price bias; Number perception;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G50 - Financial Economics - - Household Finance - - - General

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