The 52-Week High Momentum Strategy in International Stock Markets

Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204

64 Pages Posted: 22 Mar 2009 Last revised: 26 May 2012

See all articles by Ming Liu

Ming Liu

International University of Japan; International University of Japan

Qianqiu Liu

University of Hawaii at Manoa - Shidler College of Business

Tongshu Ma

Binghamton University

Date Written: June 12, 2010

Abstract

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang (2004). This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits still exist conditional on past individual and industry returns, and are independent from the profits from the Jegadeesh and Titman (1993) momentum strategy. These profits are robust when we control for the Fama-French three factors and they do not show reversals in the long run. We find that the 52-week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price. The individualism index has no explanatory power to the variations of the 52-week high momentum profits across different markets. However, the profits are no longer significant in most markets once transaction costs are taken into account.

Keywords: 52-week High, Momentum Investing, International Stock Markets

JEL Classification: G15, G12, G14

Suggested Citation

Liu, Ming and Liu, Qianqiu and Ma, Tongshu, The 52-Week High Momentum Strategy in International Stock Markets (June 12, 2010). Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204. Available at SSRN: https://ssrn.com/abstract=1364566 or http://dx.doi.org/10.2139/ssrn.1364566

Ming Liu

International University of Japan ( email )

Yamato-machi
Niigata-ken 949-7277
United States

International University of Japan ( email )

Yamato-machi
Niigata-ken 949-7277
United States

Qianqiu Liu (Contact Author)

University of Hawaii at Manoa - Shidler College of Business ( email )

2404 Maile Way, E602f
Honolulu, HI 96822
United States
808-956-8736 (Phone)
808-956-9887 (Fax)

Tongshu Ma

Binghamton University ( email )

PO Box 6001
Binghamton, NY 13902-6000
United States

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