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- W2425246504 abstract "This study examines the interactions between trading strategies based on the nearness to the 52-week high, the nearness to the 52-week low, and past returns. We offer evidence that the nearness to the 52-week low has predictive power for future average returns. Our results also reveal that the nearness to the 52-week high as well as to the 52-week low and past returns each have certain exclusive unpriced information content in the cross-sectional pricing of stocks. Moreover, a trading strategy based on the nearness to the 52-week low provides an excellent hedge for the momentum strategy, thereby nearly doubling the Sharpe ratio of the momentum strategy." @default.
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- W2425246504 date "2016-01-01" @default.
- W2425246504 modified "2023-09-27" @default.
- W2425246504 title "Nearness to the 52-Week High and Low Prices, Past Returns, and Average Stock Returns" @default.
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- W2425246504 doi "https://doi.org/10.2139/ssrn.2797149" @default.
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