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  • Predictability of future index returns based on the 52-week high strategy

    Author(s)
    Malin, Mirela
    Bornholt, Graham
    Griffith University Author(s)
    Malin, Mirela D.
    Bornholt, Graham N.
    Year published
    2009
    Metadata
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    Abstract
    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 when applied to market indices provides mixed results. The 52 week high strategy is unprofitable for emerging markets indices, and is significantly less profitable than momentum in developed markets indices. Overall the 52week high effect is not as pervasive as is the momentum effect.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 when applied to market indices provides mixed results. The 52 week high strategy is unprofitable for emerging markets indices, and is significantly less profitable than momentum in developed markets indices. Overall the 52week high effect is not as pervasive as is the momentum effect.
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    Conference Title
    22nd Australasian Finance and Banking Conference 2009
    Publisher URI
    http://www.banking.unsw.edu.au/nps/servlet/portalservice?
    Subject
    Financial Economics
    Publication URI
    http://hdl.handle.net/10072/30881
    Collection
    • Conference outputs

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