Is the 52-Week High Momentum Strategy Profitable Outside the U.S.?
Ben R. Marshall
Massey University - Department of Economics and Finance
Massey University - School of Economics and Finance
Applied Financial Economics, Vol. 15, 2005
This paper uses Australian stock data to provide the first out-of-sample test of the 52-week high momentum strategy. The robustness of price and industry momentum strategies is also considered. We find the 52-week high momentum strategy is highly profitable on Australian stocks that have been approved for short-selling. The average return is 2.14% per month, which is considerably larger than the equivalent return for this strategy in the U.S. and the return to other momentum strategies in Australia. The profitability of the 52-week high momentum strategy is robust to stocks of different size and liquidity and persists after risk-adjustment.
Keywords: Momentum investing, 52-week high strategy
JEL Classification: G12, G14Accepted Paper Series
Date posted: August 9, 2005
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.282 seconds