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• W2247997396 abstract "One of the most challenging observations in the capital market is that in contrary to the work market hypothesis, the regular portfolio’s returns shows specific behaviors in different time periods and therefore it’s possible to acquire higher returns than the market by following the investment strategy compatible with the intended time horizon. George and Hwang (2004) show that a stock’s 52-week high price explains the momentum effect and that a strategy based on closeness to the 52- week high has better forecasting power for future returns than those strategies based on past returns. Cahan shows that absolute 52high price is better than 52high momentum for forecasting power for future. We demonstrate that the 52-week high and absolute 52high momentum strategies are robust in Iran Stock Market(ISM) over the period 2004–2008. Our sample exhibit statistically significant profits when implementing this 52-week high for 3, 6 and 12 month holding periods and 6 month holding period for absolute 52high momentum strategy. Then we measure its investment performance on the basis of the Fama and French 3-Factor to measure incremental performance. Our findings show that the 52-week high strategy generates significant, positive risk-adjusted returns within the framework of the Fama/French 3-Factor Model." @default.
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• W2247997396 date "2013-03-20" @default.
• W2247997396 modified "2023-09-23" @default.
• W2247997396 title "Investigating the Effect of Momentum Strategies on Investment Success in the Iran Stock Market" @default.
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