Left‐digit biases: Individual and institutional investors

This study examines the left‐digit bias of individual and institutional investors using the microstructural data set from a highly liquid index futures market. Both investor groups exhibit excess buying after the ask falls with a tens‐digit decrement, whereas excess selling (buying) is observed only for institutions (individuals) after the bid rises with a tens‐digit increment. Such excess buying is generally pronounced when price uncertainty is high. Institutional excess selling is evident when uncertainty is low and immediately after the market opens. While both investor groups focus on cognitive reference points, our findings imply that investors heterogeneously respond to the bias and that individuals experience investment losses as they trade on the bias.