Stock Return Anomalies from Ending-Digit Effects Around the World

Tao Chen

Global Economic Review, 2017, vol. 46, issue 4, 464-494

Abstract: Ending-digit effects describe the presence of abnormal returns when the ending digits of stock prices are one penny below or above the zero-ending round number. Using data from 68 countries, I find abnormal positive returns when stock prices surpass the zero-ending threshold (i.e. when the ending digit is 1) but abnormal negative returns when prices drop below the same threshold (i.e. when the ending digit is 9). My findings survive alternative robustness checks. This ending-digit effect is more prominent in countries with more active innovation and better governance.

Date: 2017
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DOI: 10.1080/1226508X.2017.1355739

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