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The 52 Week High Matters – A Study of the German Stock Market from 1996 to 2011

Kuske, Tim LU (2012) NEKN01 20121
Department of Economics
Abstract
Using a sample of all German CDAX stocks between 1995 and 2011, this article
compares returns of a momentum strategy based on Jegadeesh and Titman (1993)
with a strategy that is based on a stock’s closeness to its 52 week high. The paper finds
an outperformance of the 52 week high strategy in favor of the momentum strategy
on the level of raw and risk adjusted returns. As in some cases abnormal returns are
obtained, the efficient market hypothesis is rejected. Within this study, the Fama and
French three factor model seems to be a better model to explain excess returns than
the CAPM. By using three different panels (whole sample, January excluded and
January only), this paper also serves further evidence on the January effect.
Please use this url to cite or link to this publication:
author
Kuske, Tim LU
supervisor
organization
course
NEKN01 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
Momentum, 52 week high, January effect, CAPM, Fama and French
language
English
id
3049212
date added to LUP
2012-09-27 11:16:38
date last changed
2012-09-27 11:16:38
@misc{3049212,
  abstract     = {Using a sample of all German CDAX stocks between 1995 and 2011, this article
compares returns of a momentum strategy based on Jegadeesh and Titman (1993)
with a strategy that is based on a stock’s closeness to its 52 week high. The paper finds
an outperformance of the 52 week high strategy in favor of the momentum strategy
on the level of raw and risk adjusted returns. As in some cases abnormal returns are
obtained, the efficient market hypothesis is rejected. Within this study, the Fama and
French three factor model seems to be a better model to explain excess returns than
the CAPM. By using three different panels (whole sample, January excluded and
January only), this paper also serves further evidence on the January effect.},
  author       = {Kuske, Tim},
  keyword      = {Momentum,52 week high,January effect,CAPM,Fama and French},
  language     = {eng},
  note         = {Student Paper},
  title        = {The 52 Week High Matters – A Study of the German Stock Market from 1996 to 2011},
  year         = {2012},
}