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

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