{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,29]],"date-time":"2026-08-29T02:02:29Z","timestamp":1787968949027,"version":"build-2784847793"},"reference-count":70,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2026,3]]},"abstract":"<jats:p>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.<\/jats:p>\n                  <jats:p>This paper was accepted by Lukas Schmid, finance.<\/jats:p>\n                  <jats:p>Funding: Y.-J. Liu acknowledges support from the National Natural Science Foundation of China [Grant 72172004].<\/jats:p>\n                  <jats:p>Supplemental Material: The online appendix and data files are available at https:\/\/doi.org\/10.1287\/mnsc.2023.01423 .<\/jats:p>","DOI":"10.1287\/mnsc.2023.01423","type":"journal-article","created":{"date-parts":[[2025,7,17]],"date-time":"2025-07-17T15:06:06Z","timestamp":1752764766000},"page":"2064-2089","source":"Crossref","is-referenced-by-count":4,"title":["Nominal Prices, Retail Investor Participation, and Return Momentum"],"prefix":"10.1287","volume":"72","author":[{"ORCID":"https:\/\/orcid.org\/0009-0009-0756-7230","authenticated-orcid":false,"given":"Jun","family":"Du","sequence":"first","affiliation":[{"name":"School of Finance, Renmin University of China, Beijing 100872, China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2951-7997","authenticated-orcid":false,"given":"Dashan","family":"Huang","sequence":"additional","affiliation":[{"name":"Lee Kong Chian School of Business, Singapore Management University, Singapore 178899, Singapore"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5288-3560","authenticated-orcid":false,"given":"Yu-Jane","family":"Liu","sequence":"additional","affiliation":[{"name":"Guanghua School of Management, Peking University, Beijing 100084, China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3299-6768","authenticated-orcid":false,"given":"Yushui","family":"Shi","sequence":"additional","affiliation":[{"name":"Monash Business School, Monash University, Melbourne, Victoria 3145, Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8496-7646","authenticated-orcid":false,"given":"Avanidhar","family":"Subrahmanyam","sequence":"additional","affiliation":[{"name":"Anderson School, University of California, Los Angeles, California 90095"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5133-2107","authenticated-orcid":false,"given":"Huacheng","family":"Zhang","sequence":"additional","affiliation":[{"name":"Business School, University of Edinburgh, Edinburgh EH8 9JS,  United Kingdom"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.09.019"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01361.x"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.05.012"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04817.x"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01060.x"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn035"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13183"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn046"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00027-0"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv007"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.027"},{"key":"B14","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13033"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.07.020"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90023-2"},{"key":"B17","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000102"},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.02.004"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05222.x"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.09.014"},{"key":"B21","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfac010"},{"key":"B22","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01532.x"},{"key":"B23","doi-asserted-by":"crossref","unstructured":"Cui C, Li FW, Pang J, Xie D (2020) A behavioral signaling explanation for stock splits. 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