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

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    Author(s)
    Malin, M
    Bornholt, G
    Griffith University Author(s)
    Malin, Mirela D.
    Year published
    2010
    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 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.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.
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    Journal Title
    Quarterly Review of Economics and Finance
    Volume
    50
    DOI
    https://doi.org/10.1016/j.qref.2010.05.003
    Copyright Statement
    © 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.
    Subject
    Finance
    Publication URI
    http://hdl.handle.net/10072/34314
    Collection
    • Journal articles

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