Predictability of Future Index Returns Based on the 52-Week High Strategy

22 Pages Posted: 26 Nov 2010

See all articles by Mirela Malin

Mirela Malin

Griffith University - Department of Accounting, Finance and Economics

Graham N. Bornholt

Griffith University - Department of Accounting, Finance and Economics

Date Written: April 7, 2010

Abstract

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

Malin, Mirela D. and Bornholt, Graham N., Predictability of Future Index Returns Based on the 52-Week High Strategy (April 7, 2010). Available at SSRN: https://ssrn.com/abstract=1714077 or http://dx.doi.org/10.2139/ssrn.1714077

Mirela D. Malin (Contact Author)

Griffith University - Department of Accounting, Finance and Economics ( email )

Gold Coast Campus
Gold Coast, Queensland 4222
Australia
+61 7 5552 7719 (Phone)

Graham N. Bornholt

Griffith University - Department of Accounting, Finance and Economics ( email )

Gold Coast Campus
Gold Coast QLD, 4222
Australia

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