The 52 Week High Matters – A Study of the German Stock Market from 1996 to 2011
Using a sample of all German CDAX stocks between 1995 and 2011, this article compares returns of a momentum strategy based on Jegadeesh and Titman (1993) with a strategy that is based on a stock’s closeness to its 52 week high. The paper finds an outperformance of the 52 week high strategy in favor of the momentum strategy on the level of raw and risk adjusted returns. As in some cases abnormal re
