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....

Prior research finds that momentum strategies (buying past losers and selling past winners) generate abnormal returns over medium-term (3- to 12-month) horizons. The Fama and French factors are unable to account for this effect, though they account for long-term reversals in asset returns. We...