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The 52-week high momentum strategy in international stock markets

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  • Liu, Ming
  • Liu, Qianqiu
  • Ma, Tongshu

Abstract

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang [George, T., Hwang, C.Y., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145-2176.]. This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits exist independently from the Jegadeesh and Titman [Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implications for market efficiency. Journal of Finance 48, 65-91.] individual stock and Moskowitz and Grinblatt [Moskowitz, T.J., Grinblatt, M., 1999. Do industries explain momentum? Journal of Finance 54, 1249-1290] industry momentum strategies. These profits do not show reversals in the long run. We find that the 52-week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price. The individualism index, a proxy to the level of overconfidence, has no explanatory power to the variations of the 52-week high momentum profits across different markets. However, the profits are no longer significant in most markets once transaction costs are taken into account.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:jimfin:v:30:y:2011:i:1:p:180-204
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    References listed on IDEAS

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    Cited by:

    1. Hong, Xin & Jordan, Bradford D. & Liu, Mark H., 2015. "Industry information and the 52-week high effect," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 111-130.
    2. Demirer, Rıza & Lien, Donald & Zhang, Huacheng, 2015. "Industry herding and momentum strategies," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 95-110.
    3. repec:eee:pacfin:v:48:y:2018:i:c:p:224-240 is not listed on IDEAS
    4. Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
    5. Jaehyung Choi, 2014. "Maximum drawdown, recovery and momentum," Papers 1403.8125, arXiv.org, revised Mar 2015.
    6. repec:eee:jfinec:v:128:y:2018:i:1:p:148-163 is not listed on IDEAS
    7. Low, Rand Kwong Yew & Tan, Enoch, 2016. "The role of analyst forecasts in the momentum effect," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 67-84.
    8. repec:eee:riibaf:v:42:y:2017:i:c:p:1445-1454 is not listed on IDEAS
    9. Chen, An-Sing & Yang, Wayne, 2016. "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 38-46.
    10. Hao, Ying & Chu, Hsiang-Hui & Ho, Keng-Yu & Ko, Kuan-Cheng, 2016. "The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 121-138.
    11. Adam Zaremba, 2016. "Is there a low-risk anomaly across countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 45-65, April.
    12. Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
    13. repec:eee:eneeco:v:68:y:2017:i:c:p:151-159 is not listed on IDEAS
    14. repec:cuf:journl:y:2017:v:18:i:2:lobao is not listed on IDEAS
    15. Jaehyung Choi & Young Shin Kim & Ivan Mitov, 2014. "Reward-risk momentum strategies using classical tempered stable distribution," Papers 1403.6093, arXiv.org, revised Jun 2015.
    16. Jaehyung Choi, 2012. "Physical approach to price momentum and its application to momentum strategy," Papers 1208.2775, arXiv.org, revised Aug 2014.
    17. Lim, Jongha & Makhija, Anil K. & Shenkar, Oded, 2016. "The asymmetric relationship between national cultural distance and target premiums in cross-border M&A," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 542-571.
    18. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
    19. repec:eee:ememar:v:31:y:2017:i:c:p:47-64 is not listed on IDEAS
    20. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    21. Jaehyung Choi & Sungsoo Choi & Wonseok Kang, 2012. "Momentum universe shrinkage effect in price momentum," Papers 1211.6517, arXiv.org.
    22. repec:cuf:journl:y:2017:v:18:i:1:lobao is not listed on IDEAS
    23. Thomas Walker & Kerstin Lopatta & Thomas Kaspereit, 2014. "Corporate sustainability in asset pricing models and mutual funds performance measurement," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 363-407, November.
    24. Choi, Jaehyung, 2014. "Physical approach to price momentum and its application to momentum strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 61-72.

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