Nominal Prices, Retail Investor Participation, and Return Momentum
利用中国股市的整手交易规则，发现高名义价格股票存在强动量，而散户参与会掩盖这一效应，为理解不同投资者对动量形成的作用提供了新证据。
We employ an identification strategy for retail participation to explore the link between return momentum and investing clientele. This scheme relies on strictly enforced round-lot rules in China, which financially constrain retail investors from participating in stocks with high nominal prices. We find that there is strong momentum in high-priced stocks but no momentum on aggregate. This result supports the idea that noise trades of retail investors mask momentum, whereas other more sophisticated investors contribute to momentum. We validate this notion by showing that retail investors with small (large) portfolios are less (more) prone to participating in stocks with high nominal prices. Further, small investor participation increases and momentum weakens following splits in high-priced stocks. Finally, we find that the positive relation between nominal prices and momentum extends to a considerable majority of international markets with round-lot rules. This paper was accepted by Lukas Schmid, finance. Funding: Y.-J. Liu acknowledges support from the National Natural Science Foundation of China [Grant 72172004]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.01423 .