International comparison of returns from conventional, industrial and 52-week high momentum strategies

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dc.contributor.authorGupta, Kartick
dc.contributor.authorLocke, Stuart
dc.contributor.authorScrimgeour, Frank
dc.date.accessioned2010-07-04T23:54:09Z
dc.date.available2010-07-04T23:54:09Z
dc.date.issued2010
dc.description.abstractThe 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.en_NZ
dc.identifier.citationGupta, 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.en_NZ
dc.identifier.doi10.1016/j.intfin.2010.06.002en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/4088
dc.language.isoen
dc.publisherElsevieren_NZ
dc.relation.isPartOfJournal of International Financial Markets, Institutions and Moneyen_NZ
dc.subjectinternational studyen_NZ
dc.subjectindustrial momentumen_NZ
dc.subject52-week high momentumen_NZ
dc.titleInternational comparison of returns from conventional, industrial and 52-week high momentum strategiesen_NZ
dc.typeJournal Articleen_NZ
pubs.begin-page423en_NZ
pubs.elements-id35426
pubs.end-page435en_NZ
pubs.issue4en_NZ
pubs.volume20en_NZ
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