Predictability of future index returns based on the 52-week high strategy
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In a landmark paper, George and Hwang (2004) show that a stock's 52-week high price largely explains the mom entum 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.
Quarterly Review of Economics and Finance
© 2010 Elsevier. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.