Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/141518
Title: The 52-week high, q-theory, and the cross section of stock returns
Authors: George, Thomas J.
Hwang, Chuan-Yang
Li, Yuan
Keywords: Business::General
Issue Date: 2018
Source: George, T. J., Hwang, C.-Y., & Li, Y. (2018). The 52-week high, q-theory, and the cross section of stock returns. Journal of Financial Economics, 128(1), 148-163. doi:10.1016/j.jfineco.2018.01.005
Journal: Journal of Financial Economics
Abstract: The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.
URI: https://hdl.handle.net/10356/141518
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2018.01.005
Rights: © 2018 Elsevier B.V. All rights reserved.
Fulltext Permission: none
Fulltext Availability: No Fulltext
Appears in Collections:NBS Journal Articles

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