52-week High Momentum Strategy: Evidence from Iranian Stock Markets
Hojatollah Ansari and
Journal of Finance and Investment Analysis, 2013, vol. 2, issue 3, 10
This paper extends the 52-high momentum literature which published by George and Hwang in 2004, by stressing the parameters of the trading strategy to investigate its robustness. This study illustrates whether 52-week high momentum strategy is profitable in Tehran Stock Exchange. The time period analyzed is 2000 to 2012. Our sample includes all the companies joined the stock market before 2000 and have been traded in at least 70% of the total trading days from 2000 to 2012. In this research, in order to form winner and loser portfolios a similar method to Jegadeesh and Titmanâ€™s (1983) has been used. The strategy buys stock whose price has increased over the previous six months, and who also close to their 52- week high price. Stocks are only bought (sold), if their price has increased (decreased) over the past six months and is close to (far from) the 52- week high Price. The results suggest that using 52-week high Momentum strategy in TSE2 have created positive abnormal returns in the medium time horizon.
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Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:2:y:2013:i:3:f:2_3_10
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