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Medientyp:
E-Artikel
Titel:
The 52-Week High and Momentum Investing
Beteiligte:
George, Thomas J.;
Hwang, Chuan-Yang
Erschienen:
Blackwell Publishers, 2004
Erschienen in:
The Journal of Finance, 59 (2004) 5, Seite 2145-2176
Sprache:
Englisch
ISSN:
0022-1082;
1540-6261
Entstehung:
Anmerkungen:
Beschreibung:
<p>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.</p>