Is the 52 Week High Strategy as Pervasive as Momentum? Evidence from Arabic Market Indices

Research Journal of Finance and Accounting, Vol. 6, No. 22, 2015

8 Pages Posted: 2 Dec 2015

Date Written: November 29, 2015

Abstract

Existing studies find that momentum can be explained by a strategy based on the 52wk high prices of individual stock and is able to predict returns. This paper uses Arabic market indices data to investigate whether there is momentum and 52wk high strategies and to evaluate the performance of these strategies to achieve the optimal portfolio. We find the 52wk high strategy is unprofitable when applied to Arabic market indices, while the momentum strategy is economically profitable than the 52wk high strategy. The 52wk high effect is not as pervasive and reliable as the momentum effect. After modifying the 52wk high strategy with long-term contrarian using a double sorting procedure, the modified 52wk high strategy has positive profits for all holding periods. However, the momentum strategy is still more profitable than this modified 52wk high strategy.

Keywords: Arabic market indices, long-term contrarian, two-factor model

Suggested Citation

Gharaibeh, Omar Khlaif and Al-Eitan, Ghaith Nasser, Is the 52 Week High Strategy as Pervasive as Momentum? Evidence from Arabic Market Indices (November 29, 2015). Research Journal of Finance and Accounting, Vol. 6, No. 22, 2015. Available at SSRN: https://ssrn.com/abstract=2697767

Omar Khlaif Gharaibeh (Contact Author)

Al Albayt University ( email )

AL-Hashemia
Ajloun, 00962
Jordan

Ghaith Nasser Al-Eitan

Curtin University ( email )

GPO Box U1987
Perth, WA WA
Australia
0435577840 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
115
Abstract Views
892
rank
249,393
PlumX Metrics