Not Available for Download

The 52-Week High and Momentum Investing

Posted: 10 Mar 2008  

Chuan-Yang Hwang

Nanyang Technological University (NTU)

Thomas J. George

University of Houston - Department of Finance

Abstract

When coupled with a stock's current price, a readily available piece of information┬┐the 52-week high price-explains a large portion of the profits from momentum investing. Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run. These results indicate that short-term momentum and long-term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news.

Keywords: 52-week high, momentum, return prediction

Suggested Citation

Hwang, Chuan-Yang and George, Thomas J., The 52-Week High and Momentum Investing. Journal of Finance, Vol. 59, No. 5, pp. 2145-2176. Available at SSRN: https://ssrn.com/abstract=1104491

Chuan-Yang Hwang (Contact Author)

Nanyang Technological University (NTU) ( email )

Singapore, 639798
Singapore
65-67905003 (Phone)
65-6791-3697 (Fax)

Thomas George

University of Houston - Department of Finance ( email )

Houston, TX 77204
United States

Paper statistics

Abstract Views
3,077