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Momentum strategy based on the timing of 52-week high price: Empirical evidence from the Stock Exchange of Thailand |
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| รหัสดีโอไอ | |
| Title | Momentum strategy based on the timing of 52-week high price: Empirical evidence from the Stock Exchange of Thailand |
| Creator | Pawin Thachasongtham |
| Contributor | Anirut Pisedtasalasai |
| Publisher | Chulalongkorn University |
| Publication Year | 2558 |
| Keyword | Stocks, Stocks -- Prices, Stock exchanges -- Thailand, หุ้นและการเล่นหุ้น, ราคาหลักทรัพย์, ตลาดหลักทรัพย์ -- ไทย |
| Abstract | The goal of this paper is to study the profitability of momentum strategy based on the timing of 52-week high price in the Stock Exchange of Thailand during the period of January 2005 to December 2015. The results show that stocks that recently achieved the 52-week high price can significantly provide more superior returns than stocks that achieved the 52-week high price in the distant past. The bias agianst 52-week high price will increases if stocks has been traded at this price level shortly. Investors are uncomfortable to bid higher price. But if stock price breaks out 52-week high price, there will be enough momentum to continue the price move in favorable direction. In addition, combining momentum strategy based on the timing of 52-week high price with both momentum strategy based on the nearness of current price to the 52-week high price and value investing strategy significantly increases the profitability compared to momentum strategy based on the timing of 52-week high price. |
| URL Website | cuir.car.chula.ac.th |
