Predictability of Future Index Returns Based on the 52-Week High Strategy
22 Pages Posted: 26 Nov 2010
Date Written: April 7, 2010
In a landmark paper, George and Hwang (2004) show that a stock’s 52-week high price largely explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do momentum strategies. We find that the 52-week high strategy is unprofitable when applied to emerging markets indices, and that it is significantly less profitable than the corresponding momentum strategy. Overall the 52-week high effect is not as pervasive as the momentum effect.
Keywords: 52-week high, momentum, emerging markets, index returns
JEL Classification: G14, G15
Suggested Citation: Suggested Citation