Gupta, K., Locke, S. & Scrimgeour, F. (2010). International comparison of returns from conventional, industrial and 52-week high momentum strategies. Journal of International Financial Markets, Institutions and Money, published online on 9 June 2010.
Permanent Research Commons link: http://hdl.handle.net/10289/4088
The performance of industrial and 52-week high momentum strategies is compared to the conventional strategy, using a large sample of stocks drawn from multiple countries covering a quarter of century to 2007. The sample of 51,879 stocks in 51 countries removes the potential for criticism, such as data mining, and provides more generalisable findings and knowledge concerning the robustness and usefulness of return from momentum strategies. Both the industry and 52-week high strategies generate positive returns but neither is greater than the conventional momentum strategy. A new 52-week high industry momentum strategy is examined and it achieves a similar result.
- Management Papers