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

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Malin, M
Bornholt, G
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2010
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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.

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Quarterly Review of Economics and Finance

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50

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© 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.

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Finance

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