Nominal Prices, Retail Investor Participation, and Return Momentum

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Analysis reveals return momentum in high-priced stocks among retail investors, suggesting a masking effect of noise trades.

Strong momentum exists in high-priced stocks, while aggregate momentum is not observed, highlighting retail investor behavior.
Retail investors with small portfolios are less likely to invest in high-priced stocks, impacting overall momentum.
Analysis uses a strategy based on round-lot rules to identify retail participation in stock markets, validating trends across various markets.
Small investor participation tends to increase, and momentum weakens after stock splits occur, indicating interaction effects.

Du et al. (2025) studied this question.

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