Predictability of Future Index Returns based on the 52 Week High Strategy
AbstractIn a landmark paper, George and Hwang (2004) show that a stock's 52-week high price largely explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do momentum strategies. We find that the 52-week high strategy is unprofitable when applied to emerging markets indices, and that it is significantly less profitable than the corresponding momentum strategy. Overall the 52-week high effect is not as pervasive as the momentum effect.
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Bibliographic InfoPaper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:200907.
Date of creation: Jul 2009
Date of revision:
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52-week high; Momentum; Developed and emerging markets; Index returns;
Other versions of this item:
- 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.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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