Stats › Individual stocks › 52 week high
The 52 week high pays 1.23% a month, except in January
The all months figure of +0.45% is what a January loss of -8.27% does to eleven months of +1.23%. Source: George and Hwang 2004, Tables I and II.
US stocks can be ranked by how close they sit to their 52 week high. Buying the top 30% and shorting the bottom 30% returned 0.45% a month from 1963 to 2001. Outside January it returned 1.23%, and in January alone it lost 8.27%.
+0.45% a monthReturn, all months
+1.23% a monthExcluding January
-8.27%January alone
+0.56%, t of 2.01Independent replication
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