Relative strength over investment horizons and stock returns

• Main Authors: ZHU, Zhaobo, DUAN, Xinrui, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Analysis of individual factors/risk premia; factor-based models; style investing; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7068; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8067/viewcontent/Relative_Strength_Inv_av.pdf
• Institution: Singapore Management University

In this article, the authors propose a simple and novel measure of relative strength over investment horizons that synthesizes short- and intermediate-term price information. The relative-strength measure compares the short-term price trend with the intermediate-term price trend. The relative streng...