The 52-week high and momentum investing

• 成果类型: Article
• 署名作者: George, TJ; Hwang, CY
• 署名单位: University of Houston System; University of Houston; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00695.x
• 发表日期: 2004
• 页码: 2145-2176
• 关键词: market; explanations; return

摘要

When coupled with a stock's current price, a readily available piece of information-the 52-week high price-explains a large portion of the profits from momentum investing. Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run. These results indicate that short-term momentum and long-term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news.