Percorrer por autor "Carstens, Daniel Maximilian"
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- How does the 52-week high and low price affect stock return moments? : a study on the US-stock marketPublication . Carstens, Daniel Maximilian; Faias, José AfonsoWe provide new empirical evidence on the profitability of two different 52-week high momentum strategies in the US stock market. Investing in a zero-investment strategy portfolio that holds a long position in stocks with a current price close to its 52-week high price and holds a short position in the stocks which current price is relatively lower to its 52-week high, offers investors excess returns, but not consistent over time. An alternative strategy, in which the stocks are ranked based on the recency of the date on which a stock accomplished its 52-week high, significantly increase the profitability of the 52-week high momentum and raises its Sharpe ratio. Further, we find these strategies to be symmetric. Constructing a long-short portfolio based on the stock price nearness to its 52-week low outperforms its high-price counterpart by 0.36 percentage points. Investing long in stocks, which low price occurred at the beginning the 52 week observation period and shorting stocks which had there 52-week low very recent generates robust positive returns, similar to a portfolio based on the recency of the high price.