Show simple item record

dc.contributor.convenorKaren Benson and David K. Ding
dc.contributor.authorMalin, Mirela
dc.contributor.authorBornholt, Graham
dc.contributor.editorProfessor Philip Gray and Professor Vidhan Goyal
dc.date.accessioned2017-05-03T14:05:53Z
dc.date.available2017-05-03T14:05:53Z
dc.date.issued2009
dc.date.modified2010-07-09T07:49:02Z
dc.identifier.refurihttp://www.business.uq.edu.au/download/attachments/24739884/concur_session_withall.pdf
dc.identifier.urihttp://hdl.handle.net/10072/31828
dc.description.abstractGeorge 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.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherThe University of Queensland
dc.publisher.placeSt Lucia, Australia
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofconferencenameAsian Finance Association International Conference 2009
dc.relation.ispartofconferencetitleAsian Finance Association International Conference 2009
dc.relation.ispartofdatefrom2009-06-30
dc.relation.ispartofdateto2009-07-03
dc.relation.ispartoflocationBrisbane
dc.rights.retentionY
dc.subject.fieldofresearchFinancial Economics
dc.subject.fieldofresearchcode140207
dc.titlePredictability of future index returns based on the 52 week high strategy
dc.typeConference output
dc.type.descriptionE1 - Conferences
dc.type.codeE - Conference Publications
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.date.issued2009
gro.hasfulltextNo Full Text
gro.griffith.authorMalin, Mirela D.
gro.griffith.authorBornholt, Graham N.


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Conference outputs
    Contains papers delivered by Griffith authors at national and international conferences.

Show simple item record