Journal of Banking & Finance Vol. 27 No. 4 2003
Do investors prefer even-eighth prices? Evidence from NYSE limit orders
Abstract
Using a large sample of limit orders on NYSE stocks, we find that investors submit more limit orders with even-eighth prices than odd-eight prices. However, even though there are a greater number of even-eighth limit orders, the proportion of executing limit orders submitted with even prices is greater than those submitted with odd prices for a large portion of our sample. We find that clustering on even prices is a positive function of stock price and various proxies for the dispersion in investors’ reservation prices. The preference for even prices affects stock quotes: Investors are more likely to submit a quote improving limit order if the limit price is even and quoted depth is higher for even quotes than for odd quotes.
- DOI
- 10.1016/s0378-4266(01)00262-x
- Volume
- 27
- Issue
- 4
- Pages
- 719-748
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib