NEW HIGHS AND PERCENTAGE RETURN

Authors

  • Marcus Davidsson Independent Researcher, Sweden

DOI:

https://doi.org/10.19044/esj.2012.v8n5p%25p

Abstract

We will in this paper investigate the empirical relationship between the number of new highs (lows) and percentage return for 2500 stocks. The theoretical argument is that stocks that historically have produced large long (short) returns all have in common that they systematically made new highs (lows). We find that the number of highs (lows) is statistically significant and can together explain up to 35% of the variation of stock return.

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Published

2012-03-18

How to Cite

Davidsson, M. (2012). NEW HIGHS AND PERCENTAGE RETURN. European Scientific Journal, ESJ, 8(5). https://doi.org/10.19044/esj.2012.v8n5p%p

Issue

Vol. 8 No. 5 (2012): ESJ March Edition

Section

Articles

License

This work is licensed under a Creative Commons Attribution 4.0 International License.