Date of Award
Doctor of Business Administration (DBA)
Economics and Finance
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.
Cho, Hyun Chul, "" (2016). Dissertation. 122.