The timing of 52-week high price and momentum

Ajay Bhootra and Jungshik Hur

Journal of Banking & Finance, 2013, vol. 37, issue 10, 3773-3782

Abstract: We propose a new momentum strategy based on the timing of a stock’s 52-week high price. We find that the stocks that attained the 52-week high price in the recent past significantly outperform the stocks that attained the 52-week high price in the distant past. In particular, the top 10% of the stocks with the most recent 52-week high price outperform the bottom 10% of the stocks with most distant 52-week high price by 0.70% per month. Further, conditioning on the recency of 52-week high price significantly increases the profitability of momentum strategy based on the nearness of current price to the 52-week high price. Specifically, the average monthly return of this strategy is about twice as large for stocks with recent 52-week high price as compared with stocks with distant 52-week high price.

Keywords: Recency bias; Momentum; 52-Week high price (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:10:p:3773-3782

DOI: 10.1016/j.jbankfin.2013.05.025

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