Is the 52-week high momentum strategy profitable outside the US?
Year: 2005
Type: article
Abstract: This paper uses Australian stock data to provide the first out-of-sample test of the 52-week high momentum strategy. The robustness of price and industry momentum strategies is also considered. We find the 52-week high momentum strategy is highly profitable on Australian stocks that have been approved for short-selling. The average return is 2.14% per month, which is considerably larger than the equivalent return for this strategy in the US and the return to other momentum strategies in Australia. The profitability of the 52-week high momentum strategy is robust to stocks of different size and liquidity and persists after risk-adjustment.
Source: Applied Financial Economics
Authors: Ben R. Marshall, Rachael M. Cahan
Institution: Massey University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2014267111