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Stock Return Anomalies from Ending-Digit Effects Around the World

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  • Tao Chen

Abstract

Ending-digit effects describe the presence of abnormal returns when the ending digits of stock prices are one penny below or above the zero-ending round number. Using data from 68 countries, I find abnormal positive returns when stock prices surpass the zero-ending threshold (i.e. when the ending digit is 1) but abnormal negative returns when prices drop below the same threshold (i.e. when the ending digit is 9). My findings survive alternative robustness checks. This ending-digit effect is more prominent in countries with more active innovation and better governance.

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  • Tao Chen, 2017. "Stock Return Anomalies from Ending-Digit Effects Around the World," Global Economic Review, Taylor & Francis Journals, vol. 46(4), pages 464-494, October.
    • Handle: RePEc:taf:glecrv:v:46:y:2017:i:4:p:464-494
    DOI: 10.1080/1226508X.2017.1355739
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    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.
    2. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.

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