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
Date Written: June 12, 2010
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: Suggested Citation