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Student Number 974208001
Author Chia-Ching Shan(³æ®a¼y)
Author's Email Address No Public.
Statistics This thesis had been viewed 1083 times. Download 501 times.
Department Finance
Year 2009
Semester 2
Degree Master
Type of Document Master's Thesis
Language English
Title The 52-week High and Momentum investing Revisited
Date of Defense 2010-06-28
Page Count 33
Keyword
  • 52-week high ratio
  • BCS model
  • Investor sentiment
  • Momentum Strategy
  • Abstract We use common stocks listed on the NYSE, AMEX, and NASDAQ exchanges from January 1965 to December 2008 to compare the differences between two momentum strategies which are 52-week high strategy and JT¡¦s momentum strategy. The JT¡¦s momentum strategy is ranked by returns from the past 6 months, where George and Hwang (2004) use the 52-week high ratio to measure the stock performance. For each of two strategies, we classify stocks into winner, loser, and middle groups based on past returns (52-week high ratio), and then subdivide each group by using the 52-week high ratio (past returns). We find the return on JT strategy is positive only into the 52-week high loser group, but the returns on 52-week high strategy are always significantly positive no matter how past returns are classified. Moreover, we explore whether the 52-week high ratio shows significant explanatory power for stock returns. This paper indicates that the 52-week high ratio can explain the variation of stock returns, and this explanatory power cannot be eliminated by risk-adjustment. This research further explores whether the explanatory power of lagged returns are affected by 52-week high ratio. The empirical results also show that the momentum effect exists in the short-term, which can be eliminated by risk adjustment. While the momentum effect from medium-term is attributed to 52-week high ratio. Finally, we also consider the relationship between the returns on 52-week high strategy and investor sentiment. The results support that returns on 52-week high strategy are caused by short-term underreaction but not long-term overreaction.
    Table of Content Abstracti
    ºK­nii
    ­PÁµüiii
    Table of Contentsiv
    List of Tablesv
    1.Introduction1
    2.Data and Methodology6
    2-1.Data6
    2-2.Methodology8
    3.Result11
    3-1.Compare two momentum strategies11
    3-2.Pair-wise comparison of 52-week high and JT momentum strategies12
    3-3.BCS model14
    3-4.Robustness checks16
    3-5.Sentiment18
    4.Conclusion20
    References23
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    Advisor
  • Pin-Huang Chou(©P»«°Ä)
  • Files
  • 974208001.pdf
  • approve in 2 years
    Date of Submission 2010-07-16

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