The Relationship between Daily Return of Individual Stocks and the Highest Price in Last 52 Weeks in Tehran Stock Exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

The Relationship between Daily Return of Individual Stocks and the Highest Price in Last 52 Weeks in Tehran Stock Exchange

Authors
Saeid Fallahpour
rasoul saadi
gholamreza aboutorabi
Abstract
The highest price in last 52 weeks is a type of momentum strategy that uses reference points to determine investment strategy. This study investigates the relationship between the highest price in last 52 weeks as a reference point and the stock prices with use of daily stock return and the highest price in last 52 weeks. To examine this hypothesis, we used regression method with panel data of 272 listed companies in Tehran stock exchange. The period of research is between 2004 to 2011.The results indicate that there is significant relationship between the highest price in last 52 weeks and daily stock return in Tehran stock exchange. When good news cause stock prices achieve to the highest price in last 52 weeks, optimistic feeling in market lead to increase recent trends pursuit behavior and improve momentum effect or the highest price in last 52 weeks effect, consequently.
Keywords
Contrarian Strategy
Highest Price in Last 52 Weeks
Momentum Strategy
Order Imbalance
Stock Returns