文章基本信息

标题：Is the 52 Week High Strategy as Pervasive as Momentum? Evidence from Arabic Market Indices
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作者：Omar Gharaibeh ; Ghaith N. Al-Eitan
期刊名称：Research Journal of Finance and Accounting
印刷版ISSN：2222-1697
出版年度：2015
卷号：6
期号：22
页码：68-75
语种：English
出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：Existing studies find that momentum can be explained by a strategy based on the 52wk high prices of individual stock and is able to predict returns. This paper uses Arabic market indices data to investigate whether there is momentum and 52wk high strategies and to evaluate the performance of these strategies to achieve the optimal portfolio. We find the 52wk high strategy is unprofitable when applied to Arabic market indices, while the momentum strategy is economically profitable than the 52wk high strategy. The 52wk high effect is not as pervasive and reliable as the momentum effect. After modifying the 52wk high strategy with long-term contrarian using a double sorting procedure, the modified 52wk high strategy has positive profits for all holding periods. However, the momentum strategy is still more profitable than this modified 52wk high strategy.
其他摘要：Existing studies find that momentum can be explained by a strategy based on the 52wk high prices of individual stock and is able to predict returns. This paper uses Arabic market indices data to investigate whether there is momentum and 52wk high strategies and to evaluate the performance of these strategies to achieve the optimal portfolio. We find the 52wk high strategy is unprofitable when applied to Arabic market indices, while the momentum strategy is economically profitable than the 52wk high strategy. The 52wk high effect is not as pervasive and reliable as the momentum effect. After modifying the 52wk high strategy with long-term contrarian using a double sorting procedure, the modified 52wk high strategy has positive profits for all holding periods. However, the momentum strategy is still more profitable than this modified 52wk high strategy. Keywords : Arabic market indices, long-term contrarian, two-factor model.
关键词：Arabic market indices; long-term contrarian; two-factor model.