“The timing of 52-week high price” momentum: Evidence from Tehran stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Maryam Davallou ¹ , Bahareh Javadian ²

1 - استادیار، گروه مدیریت مالی، دانشکده مدیریت دانشگاه شهید بهشتی، تهران، ایران.
2 - کارشناس ارشد مدیریت مالی، دانشگاه خوارزمی، تهران، ایران.

Received: 2016-03-20 Accepted : 2016-07-22 Published : 2017-09-23

Keywords: Recency bias, 52-Week high price, The timing of 52-week high pri,

Abstract :

The main aim of this study was to evaluate the profitability of new momentum strategy based on timing of a stock’s 52-week high price and compare it with the known strategy of "52 week high price". The sample of this study composed of stocks of companies listed in Tehran Stock Exchange from Farvardin 1381 until the end of Esfand 1392. To test the profitability of these two strategies, we use portfolio level analyses and Fama – Macbeth Cross sectional regressions (1973) in throughput. The results of this study confirmed the profitability strategy "The timing of 52-week high price" while winner portfolio based on"52 week high price " strategy could not yield higher returns in compare with looser one,therefore the profitability of "52 week high price "strategy is not approved. Our findings indicate that "the timing of 52-week high price" is able to predict changes in cross-sectional returns, but the point about the "52-week high price" does not apply. The results show that the interaction of these two strategies improve predictive power for stock returns.

References:

*      دستگیر محسن؛ محمد کاظمی(1392)؛ "ارتباط بین بالاترین قیمت سهام در گذشته و بازده آن در سطوح مختلف شاخص بازار"، پژوهشنامه حسابداری مالی و حسابرسی، شماره 17، 131-154.

*         فلاح‌پور سعید؛ رسول سعدی و غلامرضا ابوترابی (1392)؛ "رابطه بین بازده روزانه سهام انفرادی و بالاترین قیمت 52 هفته گذشته در بورس اوراق بهادار تهران"، فصلنامه بورس اوراق بهادار، شماره 22، 73-101.

 

*         Bhootra, A. &Hur, J. (2013).The timing of 52-Week high price and momentum.Journal of Banking & Finance, 37: 3773-3782.

*         Du, D . (2008). The 52-Week high and momentum investing in international stock indexes. The Quarterly Review of Economics and Finance, 489(1): 61-77.

*         Fama, E.F.&MacBeth, J. (1973). Risk, return, and equilibrium: empirical tests, Journal of Political Economy, 81: 607–636.

*         Goerge, T. & Hwang, C. (2004).The 52 week high and Momentum Investing.Journal of Finance, 59:2145-2176.

*         Hao, Y., Chu, H., Ho, K., Ko, K. (2016). The 52-week high and momentum in the Taiwan stock market:Anchoring or recency biases?. Journal of Banking & Finance,43: 121–138.

*         Heath, C., Huddart, S., Lang, M. (1999). Psychological factors and stock option exercise. Quarterly Journal of Economics, 114: 601–627.

*         Huddart, S., Lang, M., Yetman, M. (2009). Volume and price patterns around a stock’s 52-week highs and lows: theory and evidence. Management Science ,55: 16–31.

*         Jegadeesh, N. & Titman, S.(1993). Return to Buying Winners and Selling Losers: Implicationsfor Stock Market Efficiency.Journal of Finance, 48: 65-91.

*         Li, J.& Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of Financial Economics, 104: 401–419.

*         Li, B., Qiu, J., Wu, Y. (2010).Momentum and Seasonality in Chinese Stock Markets. Journal of Money, investment and Banking, 17: 24-36.

*         Malin, M.&Bornholt, G. (2010).Predictability of Future Index Returns Based on the 52-Week High Strategy.The Quarterly Review of Economics and Finance,50(4):501-508.

*         Marshall, B., Cahan, J., Cahan, R. (2006). Is the CRISMA technical trading system profitable?.Global Finance Journal, 17(2): ISSN 1836-8123.

*         Rouwenhorst, G. (1998).International Momentum Strategies.Journal of Finance, 53: 267-284.

*         16-Tversky, A.&Kahneman, D. (1974). Judgement under uncertainty: heuristics and biases, Science, 185: 1124–1131.