The 52-Week High and Momentum Investing
THOMAS J. GEORGE and CHUAN-YANG HWANG∗

ABSTRACT

When coupled with a stock’s current price, a readily available piece of information—the 52-week high price–explains a large portion of the profits from momentum investing.

Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run.

These results indicate that short-term momentum and long-term reversals are largely separate phenomena,
which presents a challenge to current theory that models these aspects of security returns as integrated components of the market’s response to news.

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