The 52-Week High and Momentum Investing by Wesley R. Gray, Ph.D., Alpha Architect, Author, Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors
- Thomas J. George and Chuan-Yang Hwang
- A version of the paper can be found here.
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Abstract:
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...
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