The 52-Week High Momentum Strategy in International Stock Markets

ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2010-06-12 DOI:10.2139/ssrn.1364566

Ming Liu, Qianqiu Liu, Tongshu Ma

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引用次数: 107

Abstract

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang [George, T., Hwang, C.Y., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145-2176.]. This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits exist independently from the Jegadeesh and Titman [Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implications for market efficiency. Journal of Finance 48, 65-91.] individual stock and Moskowitz and Grinblatt [Moskowitz, T.J., Grinblatt, M., 1999. Do industries explain momentum? Journal of Finance 54, 1249-1290] industry momentum strategies. These profits do not show reversals in the long run. We find that the 52-week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price. The individualism index, a proxy to the level of overconfidence, has no explanatory power to the variations of the 52-week high momentum profits across different markets. However, the profits are no longer significant in most markets once transaction costs are taken into account.

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国际股市的52周高动量策略

我们研究了George和Hwang [George, T.， Hwang, c.y.， 2004]提出的国际股票市场52周高动量策略。52周高点和动量投资。[j].金融学报，2009,29(5):444 - 444。这一策略在研究的20个市场中有18个产生了利润，其中10个市场的利润显著。52周高动量利润独立于Jegadeesh和Titman存在[Jegadeesh, N.， Titman, S.， 1993]。买进赢家、卖出输家的回归:对市场效率的影响。《金融学报》(英文版)，48(5):559 - 561。个人股票与莫斯科维茨和格林布拉特[j]，莫斯科维茨，格林布拉特，M, 1999。产业能解释动量吗?[j] .金融研究，2009(4):1 - 8。从长期来看，这些利润不会出现逆转。我们发现，52周的高点比宏观经济风险因素或收购价格更能预测未来的回报。作为过度自信程度的代表，个人主义指数对不同市场52周高动量利润的变化没有解释力。然而，一旦考虑到交易成本，利润在大多数市场上就不再显著了。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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ERN: Econometric Studies of Capital Markets (Topic)

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