Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices
Graham Bornholt and
Mirela Malin
Applied Financial Economics, 2011, vol. 21, issue 18, 1369-1379
Abstract:
Existing research shows that a strategy based on the 52-week high prices of individual stocks explains momentum and is able to forecast returns. Given that the momentum strategy based on international market indices is also known to be profitable, we investigate the profitability of the 52-week high strategy for both developed and emerging market indices. In each case, we find that the momentum strategy is significantly more profitable than the corresponding 52-week high strategy. In general, our results indicate that the 52-week high effect is not as reliable or as robust as the momentum effect.
Keywords: 52-week high momentum; index returns; developed markets; emerging markets (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572848 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:21:y:2011:i:18:p:1369-1379
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603107.2011.572848
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().