NDLI: The 52-week high, momentum, and predicting mutual fund returns

Content Provider	Springer Nature Link
Author	Sapp, Travis R. A.
Copyright Year	2010
Abstract	George and Hwang (J Finance 59:2145–2176, 2004) have shown that the 52-week high share price carries significant predictive ability for individual stock returns, dominating other common momentum-based trading strategies. Based upon their results and other methods, this paper examines and compares the performance of three momentum trading strategies for mutual funds, including an analogous 1-year high measure for the net asset value of mutual fund shares. Strategies based on prior extreme returns and on fund exposure to stock return momentum are also examined. Results show that all three measures have significant, independent, predictive ability for fund returns. Further, each produces a distinctive pattern in momentum profits, whether measured in raw or risk-adjusted returns, with profits from momentum loading being the least transitory. Nearness to the 1-year high and recent extreme returns are significant predictors of fund monthly cash flows, whereas fund momentum loading is not.
Starting Page	149
Ending Page	179
Page Count	31
File Format	PDF
ISSN	0924865X
Journal	Review of Quantitative Finance and Accounting
Volume Number	37
Issue Number	2
e-ISSN	15737179
Language	English
Publisher	Springer US
Publisher Date	2010-09-02
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Mutual fund selection Stock return momentum Momentum trading Momentum profits 52-Week high Return predictability Smart money effect Operations Research/Decision Theory Accounting/Auditing Finance/Investment/Banking Econometrics
Content Type	Text
Resource Type	Article
Subject	Finance Accounting

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