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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/142443

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142443

Title:	Aggregate 52-week high, limited attention, and time-varying momentum profits
Authors:	林靖庭 Lin, Ching-Ting Hung, Weifeng;Yang, J. Jimmy
Contributors:	金融系
Keywords:	52-week high;Attention;Momentum
Date:	2022-08
Issue Date:	2022-10-20 16:05:18 (UTC+8)
Abstract:	We propose an aggregate 52-week high ratio (AH52) to proxy for scarcity of investor attention and show that AH52 positively predicts future momentum profits. The momentum strategy is profitable as one standard deviation increase in AH52 raises momentum profits by 0.90% per month. AH52 subsumes the predictive power of well-documented market state variables such as market illiquidity, market volatility, and down market state. A timing strategy based on AH52 exhibits a higher annualized Sharpe ratio than that of a passive buy-and-hold strategy. The predictive power of AH52 is robust across market capitalizations, sub-periods, alternative measures of aggregate 52-week high, G7 countries, the inclusion of market-wide information, and various momentum strategies.
Relation:	Journal of Banking & Finance, Vol. 141, 106531
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.jbankfin.2022.106531
DOI:	10.1016/j.jbankfin.2022.106531
Appears in Collections:	[金融學系] 期刊論文

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