Date of Award

Spring 2016

Document Type

Dissertation

Degree Name

Doctor of Business Administration (DBA)

Department

Economics and Finance

First Advisor

Jungshik Hur

Abstract

I examine whether the momentum strategy based on 52-week high price can use 52-week low price as another reference point. I find that the remoteness of current price from 52-week low price plays an incremental role in the momentum profits of the strategy based on 52-week high price. Furthermore, I find that the role depends on the level of the nearness to 52-week high price. I find that the profits of the 52-week high price momentum strategy that also uses remoteness of current price from 52-week low price increase as the level of the nearness to 52-week high price increases. I also find that the profits of this strategy based on both 52-week high price and 52-week low price come largely from small stocks as the profits of the traditional momentum strategy is known to come largely from small stocks.

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