Liquidity and Price Impact at the 52 Week High

A stock’s 52 week high price represents an extremely salient anchor in an investor’s tradingdecision. Using trade and quote data, we document that stocks near the 52 week high priceexhibit significantly higher levels of liquidity than stocks far from the 52 week high. Thisincrease in liquidity is concentrated on the supply side, with depth on the ask side essentiallydoubling relative to a normal day. Price impact declines by as much as two-thirds on the52 week high day. We argue that the abnormal increase in liquidity is driven by dispositionand anchoring effects. These findings help explain the role of the 52 week high as a barrierto information discovery and a potential driver of long run momentum.