Fundamental Strength and the 52-Week High Anchoring Effect - Audencia Access content directly
Journal Articles Review of Quantitative Finance and Accounting Year : 2023

Fundamental Strength and the 52-Week High Anchoring Effect

Zhaobo Zhu
  • Function : Author
  • PersonId : 1131562
Licheng Sun
  • Function : Author
  • PersonId : 1251227

Abstract

When stocks are trading near their 52-week high investors tend to have low expectation about their future returns. We contrast such expectations against firms' fundamental strength. For firms with strong fundamentals, we confirm that investors' expectations are too low, which is consistent with the hypothesis that the 52-week high acts as a psychological anchor. We report that a fundamental-strength enhanced 52-week high trading strategy significantly outperform the unconditional strategy by nearly doubling its average return. Moreover, we provide interesting evidence that this anomalous effect is most evident when investor sentiment is high, but absent among more sophisticated institutions and short sellers.
Fichier principal
Vignette du fichier
Manuscript_v5.pdf (751.46 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-04086076 , version 1 (01-05-2023)

Identifiers

Cite

Zhaobo Zhu, Licheng Sun, Min Chen. Fundamental Strength and the 52-Week High Anchoring Effect. Review of Quantitative Finance and Accounting, 2023, 60 (4), pp.1515-1542. ⟨10.1007/s11156-023-01138-3⟩. ⟨hal-04086076⟩

Collections

AUDENCIA UNAM
13 View
86 Download

Altmetric

Share

Gmail Facebook X LinkedIn More