The Industry 52-week High Effect

Are 52-week highs and lows useful equity price momentum indicators at the industry level? In their March 2011 paper entitled “Industry Information and the 52-Week High Effect”, Xin Hong, Bradford Jordan and Mark Liu compare the 52-week high effect for industries to that for individual stocks. This effect consists of the future outperformance (underperformance) of stocks currently near their respective 52-week highs (lows). Using monthly closes and rolling 52-week (intraday) highs for all stocks listed on NYSE, AMEX and NASDAQ and 20 value-weighted industry indexes constructed from SIC codes for these firms over the period July 1963 through 2009, they find that: (more…)