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The 52-Week High and Momentum Investing

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  • THOMAS J. GEORGE
  • CHUAN-YANG HWANG
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    Abstract

    When coupled with a stock's current price, a readily available piece of information-the 52-week high price-explains a large portion of the profits from momentum investing. Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run. These results indicate that short-term momentum and long-term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news. Copyright 2004 by The American Finance Association.

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    Bibliographic Info

    Article provided by American Finance Association in its journal The Journal of Finance.

    Volume (Year): 59 (2004)
    Issue (Month): 5 (October)
    Pages: 2145-2176
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    Handle: RePEc:bla:jfinan:v:59:y:2004:i:5:p:2145-2176

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