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| Title | Aggregate 52-week high, limited attention, and time-varying momentum profits |
| Creator | 林靖庭 Lin, Ching-Ting Hung, Weifeng;Yang, J. Jimmy |
| Contributor | 金融系 |
| Key Words | 52-week high; Attention; Momentum |
| Date | 2022-08 |
| Date Issued | 20-Oct-2022 16:05:18 (UTC+8) |
| Summary | 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 |
| Type | article |
| DOI | https://doi.org/10.1016/j.jbankfin.2022.106531 |
| dc.contributor | 金融系 | |
| dc.creator (作者) | 林靖庭 | |
| dc.creator (作者) | Lin, Ching-Ting | |
| dc.creator (作者) | Hung, Weifeng;Yang, J. Jimmy | |
| dc.date (日期) | 2022-08 | |
| dc.date.accessioned | 20-Oct-2022 16:05:18 (UTC+8) | - |
| dc.date.available | 20-Oct-2022 16:05:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 20-Oct-2022 16:05:18 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/142443 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 110 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Banking & Finance, Vol. 141, 106531 | |
| dc.subject (關鍵詞) | 52-week high; Attention; Momentum | |
| dc.title (題名) | Aggregate 52-week high, limited attention, and time-varying momentum profits | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.jbankfin.2022.106531 | |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.jbankfin.2022.106531 |