The 52-week high, q-theory, and the cross section of stock returns

Thomas J. George, Chuan-Yang Hwang and Yuan Li

Journal of Financial Economics, 2018, vol. 128, issue 1, 148-163

Abstract: The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.

Keywords: 52-week high; q-factor model; Anomalies; Profitability; Investment growth (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:128:y:2018:i:1:p:148-163

DOI: 10.1016/j.jfineco.2018.01.005

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