Is the 52-week high momentum strategy profitable outside the US?
AbstractThis paper uses Australian stock data to provide the first out-of-sample test of the 52-week high momentum strategy. The robustness of price and industry momentum strategies is also considered. We find the 52-week high momentum strategy is highly profitable on Australian stocks that have been approved for short-selling. The average return is 2.14% per month, which is considerably larger than the equivalent return for this strategy in the US and the return to other momentum strategies in Australia. The profitability of the 52-week high momentum strategy is robust to stocks of different size and liquidity and persists after risk-adjustment.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 18 ()
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Web page: http://www.tandfonline.com/RAFE20
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- Mohammad Kazem Emadzade & Amir Hossein Hosseini & Mohammadali Shirazipour & Morteza Shokhmgar, 2013. "Investigating the Effect of Momentum Strategies on Investment Success in the Iran Stock Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 149-157, January.
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Discussion Papers in Finance
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