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dc.contributor.authorCahan, Rachael Marie
dc.date.accessioned2009-07-06T21:07:13Z
dc.date.availableNO_RESTRICTIONen_US
dc.date.available2009-07-06T21:07:13Z
dc.date.issued2008
dc.identifier.urihttp://hdl.handle.net/10179/891
dc.description.abstractThis thesis extends the 52-week high momentum literature, which was first published by George and Hwang in 2004, by stressing the parameters of the trading strategy to investigate its robustness. George and Hwang, in their seminal paper, find that the ratio of a stock’s close price to its 52-week high price is a good predictor of future returns. The thesis stresses various parameters of the strategy - such as the percent of total stocks bought and sold each period – and applies the strategy over different time periods – such as bull and bear markets. The study finds that the strategy is more profitable over the later half of the data set due to underperformance in bear markets such as the 1929 market crash and subsequent Great Depression. The results also show a significant difference in profitability between bull and bear market periods. The second half of the thesis looks at a new area in momentum, the absolute 52-week high. The strategy buys stocks whose price has increased over the previous six months, and who also close to their 52-week high price. Stocks are only bought (sold) if their price has increased (decreased) over the past six months and is close to (far from) the 52-week high price. The aim is to cut out stocks that are considered to be underperforming in the 52-week high momentum strategy, leaving only true winner and loser stocks. This strategy was found to increase the strength of the 52-week high momentum strategy, and the results show that there is no longer a significant difference between bull and bear market returns.en_US
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectStock pricesen_US
dc.subjectBear marketen_US
dc.subjectBull marketen_US
dc.subject52-week high momentum strategyen_US
dc.subjectFifty-two-week high momentum strategyen_US
dc.subjectUnited Statesen_US
dc.subjectStock price predictionsen_US
dc.subjectTrading strategyen_US
dc.subject.otherFields of Research::350000 Commerce, Management, Tourism and Services::350300 Banking, Finance and Investmenten_US
dc.titleAn investigation into the strength of the 52-week high momentum strategy in the United States : a thesis presented in partial fulfillment of the requirements of the degree of Masters of Business Studies in Finance at Massey University, Palmerston North, New Zealanden_US
dc.typeThesisen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Business Studies (M.B.S.)en_US


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