Industry information and the 52-week high effect

Xin Hong, Bradford D. Jordan, Mark H. Liu

Research output: Contribution to journalArticlepeer-review

9 Scopus citations


We find that the 52-week high effect (George and Hwang, 2004) cannot be explained by standard risk factors. Instead, it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell) stocks close to (far from) their 52-week highs. Further, the effect is mainly driven by investor underreaction to industry instead of firm-specific information. The extent of underreaction is more for positive than for negative industry information. The 52-week high strategy works best among stocks with high factor model R-squares and high industry betas (i.e., stocks whose values are more affected by industry factors and less affected by firm-specific information). An industry 52-week high strategy to buy (sell) industries whose total capitalizations are close to (far from) their 52-week highs outperforms an idiosyncratic 52-week high strategy to buy stocks with prices close to their 52-week highs and short stocks in the same industry with prices far from their 52-week highs.

Original languageEnglish
Pages (from-to)111-130
Number of pages20
JournalPacific Basin Finance Journal
StatePublished - Apr 1 2015


  • 52-week high effect
  • Idiosyncratic information
  • Industry information
  • Momentum

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Industry information and the 52-week high effect'. Together they form a unique fingerprint.

Cite this