Do investors prefer round stock prices? Evidence from Israeli IPO auctions

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

“…Aitken et al (1996) found evidence of attraction-type clustering in the Australian stock market. Kandel et al (2001) found the same effect in the Israeli IPO market. ap Gwilym et al (1998b) also find it for international bond futures.…”

“…The most notable contributions include Harris (1991), , Christie, Harris and Schultz (1994), Kleidon and Willig (1995), Aitken, Brown, Buckland, Izan and Walter (1996), Grossman, Miller, Fischel, Cone and Ross (1997), Woodward (1998), Weston (2000), Kandel, Sarig and Wohl (2001) and Brown, Chua and Mitchell (2002). Additionally, some prior work focuses on futures markets, including papers by Ball, Torous and Tschoegl (1985), Brown, Laux and Schachter (1991), ap Gwilym, Clare and Thomas (1998aand 1998b and ap Gwilym and Alibo (2003).…”

Price clustering in E‐mini and floor‐traded index futures

“…Hameed and Terry (1998) and Ikenberry and Weston (2003) both reported evidence in support of the Harris (1991) In practice, some individuals prefer certain numbers to others, a phenomenon that Hornick, Cherianand, and Zakay (1994) referred to as "human bias." In their surveys of self-reported time-based activities, they found that investors displayed a bias for rounding numbers to 0 or 5, whereas Kandel, Saring, and Wohl (2001) also found that investors preferred round numbers in the Israeli IPO auctions. Goodhart and Curcio (1991) and Aitken et al (1996) argued that some numbers have a basic attraction to investors, with the final digit 0 having greater attraction than 5, which in turn is more popular than others; they referred to this as the "attraction hypothesis," and indeed, consistent with this hypothesis, in their examination of price clustering on the LSE, Grossman et al (1997) found that quotes ending in 0 and 5 were the most frequently seen.…”

“…Examples of the literature on price clustering include underwritten offerings (Yeoman, 2001), initial public offerings (Kandel, Saring, & Wohl, 2001), foreign-exchange markets (Goodhart & Curcio, 1991;Osler, 2003), the London gold market (Grossman et al, 1997), underlying stock prices on options expiration dates (Ni, Pearson, & Poteshman, 2005), and futures markets (ap Gwilym & Alibo, 2003;Schwartz et al, 2004). 2 There are a number of examples of exchanges transferring from an open-outcry to an automated trading system in recent years, such as the MATIF, the Sydney Futures Exchange (SFE), the New Zealand Stock Exchange (NZSE), the London International Financial Futures Exchange (LIFFE), and several other exchanges around the world.…”

Negotiation and the Clustering of Corporate Loan Spreads

“…For example, clustering exists in the stock market (Niederhoffer, 1966;Harris, 1991;Christie and Schultz, 1994;Ikenberry and Weston, 2007), in the foreign exchange market (Goodhart and Curcio, 1990;Sopranzetti and Datar, 2002), in the real estate market (Colwell et al, 1990), in the gold market (Ball et al, 1985), in the loan deposit market (Kahn et al, 1999;Ashton and Hudson, 2007) and in the IPO market (Ibbotson and Jaffe, 1975;Ibbotson et al, 1994;Kandel et al, 2001). …”