This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all price points one penny below (above) round numbers....

In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a...

Using a large transaction level dataset, we find that institutional investors can make economically insignificant -4 to 9 basis points net profit on their marked-to-market portfolio of buy – sell transactions over 1-day to 4-week holding period. The negative net marked-to-market profit comes...