Momentum Crashes and the 52-Week High

Authors

Byoung-Hyun Jeon, Marquette UniversityFollow
Suk-Joon Byun, KAIST College of Business

Document Type

Article

Publication Date

2023

Publisher

Taylor & Francis

Source Publication

Financial Analysts Journal

Source ISSN

0015-198X

Original Item ID

DOI: 10.1080/0015198X.2023.2183706

Abstract

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. We find that a surge of investor speculation toward stocks far from their 52-week highs can partially explain the momentum crashes. If a momentum strategy is revised to be neutral on a 52-week high effect, momentum crashes are significantly attenuated and the revised strategy does not exhibit procyclical returns. Furthermore, the revised strategy generates a higher Sharpe ratio in different sub-periods and international stock markets.

Comments

Accepted version. Financial Analysts Journal, Vol. 79, No. 2 (2023): 120-139. DOI. © 2023 Taylor & Francis. Used with permission.

Recommended Citation

Jeon, Byoung-Hyun and Byun, Suk-Joon, "Momentum Crashes and the 52-Week High" (2023). Finance Faculty Research and Publications. 164.
https://epublications.marquette.edu/fin_fac/164