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Predictability of Future Index Returns based on the 52 Week High Strategy

  • Mirela Malin
  • Graham Bornholt

In 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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File URL: https://www120.secure.griffith.edu.au/research/items/69d343cd-b8a0-113e-189d-05b862ddd735/1/2009-07-predictability-of-future-index-returns-based-on-the-52-week-high-strategy.pdf
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Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:200907.

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Date of creation: Jul 2009
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Handle: RePEc:gri:fpaper:finance:200907
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