The 52-week high, q-theory, and the cross section of stock returns

• Main Authors: George, Thomas J., Hwang, Chuan-Yang, Li, Yuan
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2020
• Subjects: Business::General; 52-week High; q-factor Model
• Online Access: https://hdl.handle.net/10356/141518
• Institution: Nanyang Technological University

The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both...