The 52 - Week High And Momentum Investing  

Oleh:

George, Thomas J. ; Chuan-Yang, Hwang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 5 (Oct. 2004), page 2145-2176.
Topik: momentum; studies; stock prices; investment policy; forecasting
Fulltext: p 2145.pdf (156.11KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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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.

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