dc.contributor.convenor | Karen Benson and David K. Ding | |
dc.contributor.author | Malin, Mirela | |
dc.contributor.author | Bornholt, Graham | |
dc.contributor.editor | Professor Philip Gray and Professor Vidhan Goyal | |
dc.date.accessioned | 2017-05-03T14:05:53Z | |
dc.date.available | 2017-05-03T14:05:53Z | |
dc.date.issued | 2009 | |
dc.date.modified | 2010-07-09T07:49:02Z | |
dc.identifier.refuri | http://www.business.uq.edu.au/download/attachments/24739884/concur_session_withall.pdf | |
dc.identifier.uri | http://hdl.handle.net/10072/31828 | |
dc.description.abstract | George and Hwang (2004) show that a stock's 52-week high price explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than those strategies based on past returns. In contrast to the existing research at company level, this paper shows that the 52-week high ratio has weak or no predictive power when applied to market indices. In the developed markets, the strategy is weakly profitable and underperforms the momentum strategy while in the emerging markets the strategy earns negative returns. These results also contradict Du (2008) who finds that a 52-week high index strategy dominates momentum in the developed markets. | |
dc.description.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | The University of Queensland | |
dc.publisher.place | St Lucia, Australia | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofconferencename | Asian Finance Association International Conference 2009 | |
dc.relation.ispartofconferencetitle | Asian Finance Association International Conference 2009 | |
dc.relation.ispartofdatefrom | 2009-06-30 | |
dc.relation.ispartofdateto | 2009-07-03 | |
dc.relation.ispartoflocation | Brisbane | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Financial Economics | |
dc.subject.fieldofresearchcode | 140207 | |
dc.title | Predictability of future index returns based on the 52 week high strategy | |
dc.type | Conference output | |
dc.type.description | E1 - Conferences | |
dc.type.code | E - Conference Publications | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.date.issued | 2009 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Malin, Mirela D. | |
gro.griffith.author | Bornholt, Graham N. | |