Predictability of future index returns based on the 52-week high strategy

Mirela Malin and Graham Bornholt

The Quarterly Review of Economics and Finance, 2010, vol. 50, issue 4, 501-508

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 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Working Paper: Predictability of Future Index Returns based on the 52 Week High Strategy (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:50:y:2010:i:4:p:501-508

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