Profitability of 52-Week High Momentum Returns in the Global Equity Markets- an Empirical Evidence

10 Pages Posted: 22 Mar 2008

See all articles by Kartick Gupta

Kartick Gupta

University of South Australia

Stuart Locke

University of Waikato - Management School

Date Written: March 10, 2008

Abstract

Momentum returns remain a contentious topic and a substantial amount of research purports to support and negate this phenomenon of accepting and rejecting this anomaly. Fama, (1998, p 304) add that, "The short-term continuation of returns documented by Jegadeesh and Titman (1993) is also an open puzzle, but it is till rather new and further tests are in order." The two important extensions of momentum strategy in explaining and/or generating superior returns are industrial momentum and 52-week high momentum investing.

52-week high momentum investing states that 52-week high price coupled with a stock's current price can explain a large portion of profits from momentum investing. So far this strategy is tested out-of-sample only in Australian Stock Market and a further investigation is needed in this area to attest the viability of this anomaly. This paper contributes to the existing literature by undertaking this investment strategy in a global context (54 countries). Additionally, the paper also addresses several important questions with regards to methodology, sample and other issues.

Keywords: 52 week high investing, momentum, stock market efficiency

JEL Classification: G10, G11, G14

Suggested Citation

Gupta, Kartick and Locke, Stuart, Profitability of 52-Week High Momentum Returns in the Global Equity Markets- an Empirical Evidence (March 10, 2008). Available at SSRN: https://ssrn.com/abstract=1104892 or http://dx.doi.org/10.2139/ssrn.1104892

Kartick Gupta (Contact Author)

University of South Australia ( email )

37-44 North Terrace, City West Campus
Adelaide, South Australia 5001
Australia
+61 8 830 27179 (Phone)

HOME PAGE: http://people.unisa.edu.au/Kartick.Gupta

Stuart Locke

University of Waikato - Management School ( email )

Hamilton
New Zealand

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