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Is the 52-Week High Momentum Strategy Profitable Outside the U.S.?

Posted: 9 Aug 2005  

Ben R. Marshall

Massey University - School of Economics and Finance

Rachael Hodges

Massey University - School of Economics and Finance

Abstract

This paper uses Australian stock data to provide the first out-of-sample test of the 52-week high momentum strategy. The robustness of price and industry momentum strategies is also considered. We find the 52-week high momentum strategy is highly profitable on Australian stocks that have been approved for short-selling. The average return is 2.14% per month, which is considerably larger than the equivalent return for this strategy in the U.S. and the return to other momentum strategies in Australia. The profitability of the 52-week high momentum strategy is robust to stocks of different size and liquidity and persists after risk-adjustment.

Keywords: Momentum investing, 52-week high strategy

JEL Classification: G12, G14

Suggested Citation

Marshall, Ben R. and Hodges, Rachael, Is the 52-Week High Momentum Strategy Profitable Outside the U.S.?. Applied Financial Economics, Vol. 15, 2005 . Available at SSRN: https://ssrn.com/abstract=770504

Ben R. Marshall (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand
64 6 350 5799 (Phone)
64 6 350 5651 (Fax)

Rachael Hodges

Massey University - School of Economics and Finance

Private Bag 11-222
Palmerston North, 30974
New Zealand

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