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Is the 52-week high momentum strategy profitable outside the US?

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  • Ben Marshall
  • Rachael Cahan
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    Abstract

    This 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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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386008
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 15 (2005)
    Issue (Month): 18 ()
    Pages: 1259-1267

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    Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1259-1267

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    Cited by:
    1. Chang, Chiao-Yi, 2011. "The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 14-27, February.
    2. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 565-579, November.
    3. Gupta, Kartick & Locke, Stuart & Scrimgeour, Frank, 2010. "International comparison of returns from conventional, industrial and 52-week high momentum strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 423-435, October.
    4. Liu, Ming & Liu, Qianqiu & Ma, Tongshu, 2011. "The 52-week high momentum strategy in international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 180-204, February.
    5. Malin, Mirela & Bornholt, Graham, 2010. "Predictability of future index returns based on the 52-week high strategy," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 501-508, November.
    6. A. S. Hurn & V.Pavlov, 2008. "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series 23, National Centre for Econometric Research, revised 26 Feb 2008.
    7. Marshall, Ben R. & Cahan, Jared M. & Cahan, Rochester H., 2006. "Is the CRISMA technical trading system profitable?," Global Finance Journal, Elsevier, vol. 17(2), pages 271-281, December.
    8. 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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