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The 52-Week High Strategy

Momentum and Overreaction in Large Firm Stocks

Ray R. Sturm
The Journal of Investing Summer 2008, 17 (2) 55-67; DOI: https://doi.org/10.3905/joi.2008.707218
Ray R. Sturm
Lecturer in finance at the College of Business Administration, University of Central Florida, in Heathrow, FL.
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Abstract

Prior studies have documented momentum profits to stock portfolios formed from 52-week highs in prices. This article primarily examines the pattern of returns to portfolios formed from other highs besides the 52-week high and from the time interval between current prices and the prior high. This study finds evidence suggesting that investors attach value to prior highs and lows besides the 52-week high/low, but the 52-week high/low appears to have more value than the others. The results imply that prior price extremes contain information about future returns and present a challenge to market efficiency.

TOPICS: Portfolio construction, security analysis and valuation, exchanges/markets/clearinghouses

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The Journal of Investing
Vol. 17, Issue 2
Summer 2008
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The 52-Week High Strategy
Ray R. Sturm
The Journal of Investing May 2008, 17 (2) 55-67; DOI: 10.3905/joi.2008.707218

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The 52-Week High Strategy
Ray R. Sturm
The Journal of Investing May 2008, 17 (2) 55-67; DOI: 10.3905/joi.2008.707218
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