The 52‐Week High and Momentum Investing
研究发现，股票当前价格与52周高点的接近程度能解释动量投资的大部分利润，且其预测未来收益的能力优于过去收益，长期不反转，表明短期动量与长期反转是独立现象。
ABSTRACT When coupled with a stock's current price, a readily available piece of information—the 52‐week high price–explains a large portion of the profits from momentum investing. Nearness to the 52‐week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52‐week high do not reverse in the long run. These results indicate that short‐term momentum and long‐term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news.