The 52-Week High Momentum Strategy in International Stock Markets

摘要：

We demonstrate that the 52-week high momentum strategy proposed by George and Hwang (2004) is robust in international stock markets. Ten out of sixteen markets in our sample exhibit statistically and economically significant profits when implementing this 52-week high momentum strategy. Moreover, the 52-week high and the Jegadeesh and Titman (1993) momentum strategies tend to coexist independently within a country; both strategies earn statistically significant profits conditional on the ranking of the other. In contrast to the predictions of the behavioral models, our results on raw and risk-adjusted returns support George and Hwang‘s finding from the U.S. market that the 52-week high momentum profit does not reverse in the long run.

作者: Ming Liu Qianqiu Liu Tongshu Ma

作者单位: Binghamton University, Binghamton, NY University of Hawaii, Manoa

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-42

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）