“THE TIMING OF 52-WEEK HIGH PRICE” MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE

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DAVALLOU MARYAM; JAVADIAN BAHAREH

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2017 | Volume:10 | Issue:35 Page(s): 63-77

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Title

“THE TIMING OF 52-WEEK HIGH PRICE” MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

DAVALLOU MARYAM | JAVADIAN BAHAREH | Issue Writer Certificate

Keywords

RECENCY BIASQ2

52-WEEK HIGH PRICEQ2

THE TIMING OF 52-WEEK HIGH PRICEQ2

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.

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APA: Copy

. (2017). “THE TIMING OF 52-WEEK HIGH PRICE” MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(35), 63-77. SID. https://sid.ir/paper/200194/en

Vancouver: Copy

. “THE TIMING OF 52-WEEK HIGH PRICE” MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;10(35):63-77. Available from: https://sid.ir/paper/200194/en

IEEE: Copy

, ““THE TIMING OF 52-WEEK HIGH PRICE” MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 35, pp. 63–77, 2017, [Online]. Available: https://sid.ir/paper/200194/en

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