Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices

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

JEL Classification::

• G14
• G15

Acknowledgements

The authors thank Jerry Bowman and Stefano Cavaglia for their helpful comments.

Notes

¹ Downloaded from Kenneth French website.

² http://www.mscibarracom/products/indices/stindex.

³ http://www.mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.

⁴ The risk-adjusted results for the momentum strategy are available upon request.