We explore the link between momentum and investing clientele via an identification strategy for retail participation. Specifically, due to a strictly-implemented roundlot restriction, small retail investors are less prone to participating in Chinese stocks with high nominal prices. In turn, there is strong momentum in stocks with high nominal prices, but no momentum on aggregate. Short-term reversals are stronger in low-priced stocks. Institutional holdings enhance momentum in high-priced stocks. Small investor participation increases and momentum weakens following splits in high-priced stocks. The results support the notion that retail trades contribute to short-term reversals, while institutions contribute to momentum.

Professor Subrahmanyam (“Subra”) is currently a Distinguished Professor of Finance and the Goldyne and Irwin Hearsh Chair in Money and Banking at UCLA. He received his Ph.D. in finance from the Anderson School in 1990. He was Assistant Professor at Columbia University from 1990 to 1993, and Visiting Associate Professor at Anderson in 1993-1994. His current research interests range from the relationship between the trading environment of a firm's stock and the firm's cost of capital to behavioral theories for asset price behavior to empirical determinants of the cross-section of equity returns. Professor Subrahmanyam is the author or coauthor of more than a hundred refereed journal articles on these and other subjects in leading finance and economics journals. He is a member of the Working Research Group on Market Microstructure recently established by the National Bureau of Economic Research (NBER) in Cambridge, Mass. Some of his specific accomplishments are as follows:

1.He is among the most-cited scholars in his research cohort (those receiving first-time finance-related positions from 1990 onwards). The Google Scholar count of published papers that each cite at least one of his papers works out to be more than 37,000. Another study cited him as being among the 25 most productive scholars in the world during the period 1953-2002, a noteworthy fact because he received his Ph.D. in 1990.

2.He has received several awards for his research, including best paper awards at the Journal of Finance, Journal of Financial Economics, Western Finance Association meetings and the International Conference of Finance in Taiwan, and has been nominated for best paper awards several times at the Journal of Finance.

3.He has presented numerous (more than sixty) seminars at top institutions, including talks at Chicago, Princeton, MIT, NYU, Duke, Berkeley, London Business School, UNC, University of Arizona, University of Texas, and many other institutions around the world.

4.He is the co-organizer of the market microstructure conference series organized by the prestigious National Bureau of Economic Research (NBER) in Cambridge, MA, which meets twice a year.

5.He has been on the editorial boards of two of the three best finance journals (Journal of Finance and Review of Financial Studies), and is on the boards of several others.  

6.He has served as a consultant to the NASDAQ Stock Exchange, the National Stock Exchange in Mumbai (Bombay), India, San Jose Mercury News, Irwin/McGraw-Hill, and several other corporations. 

7.He also has advised Deutschebank as well as Bank de Groof on behavioral finance strategies.  

8.He has lectured on behavioral finance to several institutions such as executive MBAs at Fudan University, UCLA, the Indian School of Business, and the University of Zurich.

9.He has given more than fifty keynote speeches on behavioral finance and financial liquidity at various locations in the world to both academics and practitioners, including areas as diverse as Brazil, Australia, Taiwan, Singapore, France, and England over the past five years.