Is the 52-week high momentum strategy profitable outside the US?

Ben Marshall and Rachael Cahan

Applied Financial Economics, 2005, vol. 15, issue 18, 1259-1267

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 US 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.

Date: 2005
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DOI: 10.1080/09603100500386008

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