SSRN Id4587697

The 52-Week High Effect and Momentum Investing: Evidence from
India
Rajan Raju∗
September 2023
Abstract
Using a dataset from October 2004 to August 2023, we employ various portfolio construction
frameworks to show that the 52-week high effect is a distinct and robust phenomenon in the Indian
equity market. This study investigates the predictive power of this phenomenon and contrasts it
with academic momentum. We find that stocks near their past 52 weeks tend to offer higher returns
and Sharpe ratio, even after controlling for firm size. Our findings are statistically significant and
valid across various weighting schemes, reaffirming that the 52-week high effect is a distinct and
robust market “anomaly”, offering a more stable alpha than academic momentum in Indian equity
markets. Furthermore, we find that 52-week high strategies have weaker long-term reversals relative
to academic momentum, offering actionable insights for investment managers looking to capitalise
on momentum-based anomalies. These findings suggest different underlying market responses to
news for the two effects and provide actionable insights for portfolio managers and investors.
Keywords— Factors, Portfolio Construction, 52 week high, Momentum, Indian Equity
JEL Classification Codes G00, G11, C15
∗
Email: rajanraju@invespar.com, Phone: +65.62380361
Electronic copy available at: https://ssrn.com/abstract=4587697

1. Introduction
Momentum investing, the strategy of betting on recent winners to continue winning and losers to continue
losing, presents an intriguing phenomenon in financial markets. Evidence provided by Jegadeesh and Titman
(1993) supports the existence of stock momentum over intermediate horizons, where a self-financing strategy
that buys the top 10% and sells the bottom 10% of stocks ranked by 6-month returns, holding positions for
another 6 months, produces profits of 1% per month. Alongside momentum, research by De Bondt and Thaler
(1985); Lee and Swaminathan (2000), and Jegadeesh and Titman (2001) documents long-term reversals in stock
returns, where stocks that perform poorly in the past outperform in the next 3 to 5 years and vice versa. Various
theoretical models, such as those presented by Barberis, Shleifer, and Vishny (1998); Daniel, Hirshleifer, and
Subrahmanyam (1998), and Hong and Stein (1999) attempt to explain the coexistence of intermediate horizon
momentum and long horizon reversals in individual stock returns. In these models, the momentum occurs due to
different reasons, including traders’ slowness to revise their priors when new information arrives or overreaction
to prior information when new information confirms it, and long-term reversals occur as these behaviours are
corrected over time. The interplay of short-term momentum and long-term reversals creates a complex narrative
and becomes a sequential component of how the market absorbs news.
Building on traditional momentum investments, George and Hwang (2004) introduced the concept of 52-week
high momentum return. The 52-week high price refers to the highest price that a stock has reached in the most
recent 52-week period, and the 52-week high-momentum strategy leverages this price level to predict future
returns. George and Hwang discovered that selecting stocks based on their proximity to a 52-week high or low
price, instead of using the traditional total return approach, generates returns that are approximately twice as
large as those associated with conventional momentum returns in the US market. They argue that the 52-week
measure has greater predictive power, as stocks trading at 52-week highs and lows are easily available from
various sources. When a stock’s price reaches a new 52-week high, investors are likely to sell, even when the
trend indicates increasing prices. As this information is incorporated, the price continues to rise, and the 52-week
high price, together with the stock’s current price, explains a significant portion of the profits from momentum
investing. This method has shown that nearness to the past 52-week high price is a more potent predictor
of future returns, and this strategy’s returns do not reverse in the long run, unlike traditional momentum strategies.
In this study, we empirically validate the 52-week high effect as a distinct market anomaly in the Indian
equity market, diverging from traditional academic momentum. Using a sample from October 2004 to August
2023, our research uncovers a more stable alpha in the 52-week high effect compared to academic momentum.
Although both strategies show return decay over time, the decay is less pronounced in the 52-week high strategy.
These findings imply different underlying market reactions to news for these two phenomena, providing valuable
information for portfolio construction and momentum strategies.
To our knowledge, this is the first comprehensive academic investigation of the 52-week high-momentum
Sep 2023 1
effect in the Indian equity market, utilising a large and diverse sample of over 4,400 stocks spanning from
October 2004 to August 2023. First, we extend the existing literature on the 52-week high effect by pro-
viding robust out-of-sample evidence that is geographically and temporally expansive. Second, we employ
the well-accepted Fama-French factor portfolio methodology, specifically tailored for the Indian market, to
dissect the nuances of the 52-week high effect and to distinguish it distinctively from the traditional momentum
effect proposed by Carhart (1997). Third, our research uncovers a more stable alpha in the 52-week high
strategy compared to academic momentum, providing actionable insights for portfolio managers and investors.
Lastly, our findings contribute to the ongoing discourse on alternative momentum indicators by shedding light
on their decay patterns and underlying behavioural factors, thus enriching our understanding of market anomalies.
The rest of this paper is organised as follows: Section 3 discusses our methodology and data sources; Section
4 presents our results; and we conclude in Section 5.
2. Literature Review
Using data from all US stocks on CRSP from 1963 to 2001, George and Hwang (2004) examined the
52-week high effect. They found that proximity to the 52-week high, the highest price a stock has reached
in the past year, is a more robust predictor of future returns than past returns, regardless of whether stocks
have experienced extreme past returns. Their head-to-head comparison with traditional momentum strategies
revealed that price levels are more crucial determinants of momentum effects than past price changes. The
behavioural explanation they offer is consistent with findings from Grinblatt and Keloharju (2001) who observed
price-level effects in investors’ trading patterns, especially near historical highs and lows. George and Hwang
suggest that traders use the 52-week high as a reference point when evaluating the potential impact of news.
When a stock’s price approaches or reaches a new 52-week high, traders are hesitant to bid the price higher,
even if warranted. Similarly, if bad news pushes the price far from the 52-week high, traders are initially
unwilling to sell at such low prices. Eventually, the information prevails, resulting in a continuation of price
trends. This reluctance to revise priors is price-level dependent, with the most considerable reluctance at price
levels nearest and farthest from the stock’s 52-week high. Their findings indicate no evidence of reversals and
suggest that the 52-week high effect is a distinct phenomenon from short-term continuation. They propose
that this effect might be triggered by different behavioural biases, challenging existing behavioural models
and calling for diverse theoretical frameworks for understanding medium-term momentum and long-term reversals.
Marshall and Cahan (2005) explored the 52-week high strategy on the Australian Stock Exchange from
January 1990 to December 2003, finding it highly profitable in various types of stocks. In the Australian context,
the strategy outperformed both the original pure momentum strategy of Jegadeesh and Titman (1993). Du
(2008) tested the 52-week high effect in 18 developed market indices rather than stocks, covering the period
from December 1969 to July 2004. His results are consistent with the original findings of George and Hwang
(2004) which are based on individual stocks. However ,the study indicated that the momentum profits are
Sep 2023 2
marginally higher than the 52-week high profits. Gupta, Locke, and Scrimgeour (2010) compared the 52-week
high-momentum strategies with the conventional strategy a large sample of 51,879 stocks across 51 countries up
to 2007, addressing criticisms like data mining. Although the 52-week high strategies yielded positive returns,
neither surpassed the conventional momentum strategy. Liu, Liu, and Ma (2011) demonstrate the robustness
of the 52-week high-momentum strategy proposed by George and Hwang (2004) in sixteen international stock
markets, with ten markets exhibiting significant profits. They find that the 52-week high and Jegadeesh and
Titman (1993) momentum strategies coexist independently within markets, and that the profits from the 52-week
high momentum strategy do not reverse in the long run, even after risk adjustment, consistent with previous
findings in the US market.
In the realm of behavioural finance, momentum and the 52-week high effect are underpinned by distinct
psychological phenomena. Momentum is often ascribed to a dual framework of underreaction and delayed
overreaction (Barberis et al., 1998; de Long, Shleifer, Summers, and Waldmann, 1990; Daniel, Hirshleifer, and
Subrahmanyam, 1997). The initial underreaction to new information is attributed to limited attention by
investors or conservative behaviour (Barberis et al., 1998). Over time, herding behaviour amplifies these effects,
causing prices to deviate from fundamentals (Hong, Lim, and Stein, 2000). The disposition effect adds another
layer to the behavioural underpinnings of momentum, causing prices to under-react due to premature selling
or lack of buying (Odean, 1998; Barberis et al., 1998). This overreaction eventually corrects itself, leading to
longer-term reversals (Jegadeesh and Titman, 1993).
In contrast, the 52-week high effect is primarily explained by psychological anchoring theory, originated
by Kahneman and Tversky (Tversky and Kahneman, 1974), posits that investors use the 52-week high as a
salient reference point, or “anchor”, in forming price expectations. This anchor not only affects investor sentiment
but also trading behaviour. When a stock nears its 52-week high, it often experiences higher trading volumes,
driving the price even closer to the high (Barberis et al., 1998). Prospect theory (Kahneman and Tversky, 1979)
provides additional insights into the risk behaviour of investors with respect to this anchor. The theory predicts
that investors exhibit low risk aversion as the stock price nears its 52-week high. However, once the high is
reached, there is an increase in loss aversion.
Previous research supports these theories. For example, Birru (2015) found that investor expectations are
biased downward for stocks near a 52-week high, indicating that the 52-week high acts as a psychological barrier
that causes underreaction to the news. This aligns with the notion that investors are hesitant to bid above the
anchor even when positive news arrives. However, stocks far from their 52-week high often face neglect, leading
to lower trading volumes and potential underpricing. This creates an environment ripe for momentum, as these
neglected stocks offer greater upside when market sentiment changes (Fenton-O’Creevy, Nicholson, Soane, and
Willman, 2003).
Saurav, Agarwalla, and Varma (2023) examine the Indian options market near 52-week high and low and
Sep 2023 3
show that as the stock price approaches these points, certain volume behaviours occur in call and put options
and reverse after crossing them. The results provide substantial evidence for anchoring effects near the 52-week
high/low, but do not confirm the expected preferences distortion predicted by prospect theory. This reinforces
the importance of considering multiple behavioural biases and their intricate interplay when studying complex
market phenomena such as the 52-week high effect.
Studies in India on the 52-week high effect are sparse. Sharma and Mehra (2014) investigate building a
portfolio with stocks recently hitting 52-week high points and consistent past performance, termed ’filtered
stocks’, on the CNX-200 index from April 2001 to December 2012. Their findings show that filtered portfolios
generally do not outperform others except in bearish periods for short-term investments, yet they produce
statistically less loss in bearish times or when average monthly returns are less than 91 days of T-bills.
This paper seeks to address the gap in research on the 52-week high effect in Indian equities.
3. Methodology and Data
3.1. Methodology
Following George and Hwang (2004), each month, we gauge how close a stock’s last-month closing price is to
its 52-week high using the formula:
pi,t−1
52wi,t = 52w (1)
Pi,t−1
52w
where, pi,t−1 is the closing price and Pi,t−1 is the 52-week high price for stock i in month t − 1 for stock i. A
high 52wi implies that the stock price is near its 52-week high price, and conversely, a low 52wi indicates that a
stock trades well below its 52-week high. This definition is analogous to the skip-month academic momentum
metric, where the 52-week high price is replaced by the stock’s price 12 months ago.
Using these 52w metric, we first construct equal weighted and market-cap weighted quintile portfolios at the
end of each month by ranking stocks on 52wi . Quintile 1 has stocks far from their respective 52-week highs, and
Quintile 5 has those whose prices are near or at their respective peaks.
We calculate the return over the month following portfolio formation for each quintile and factor portfolio.
From this time series, we calculate the mean return in excess of the risk-free rates, the standard deviation, the
skew, and the Sharpe ratio. We use the approach of Memmel (2003) to statistically test the significance of the
difference between two Sharpe ratios.
sri − srj
z=q (2)
1
2(1 − ρi,j ) + 21 (sri2 + srj2 − sri srj (1 + ρ2i,j ))

T
where sr is the Sharpe ratio of, ρi,j is the correlation between the portfolios i and j and T is the number of
Sep 2023 4
observations.
Second, we create 2x3 portfolios sorted by size (Big and Small) and 52w metric. The size categorisation
is described in Raju (2022b), Big are firms in the top 90th percentile of total aggregate September market
capitalisation of all firms in our universe, and small stocks are those in the bottom 10%. The 52w breakpoints
are the 30th and 70th percentiles for the respective ratios for the Big stocks. This approach follows the widely
accepted Fama and French (2015) factor methodology.
3.2. Data
The portfolios in this analysis use data from LSEG Datastream. We use all the companies in the Worldscope
India database (Datastream code WSCOPEIN ), comprising 4,331 companies listed on the NSE or BSE at
present or in the past1 .
The 52-week high prices and monthly total returns are from data provided by LSEG Datastream between
September 2004 and August 2023. Invespar’s “Data Library: Fama French 3 and 5 Factors and Momentum
Factor for the Indian Market” 2 (Raju, 2022b,a) provides factor data and risk-free rates, covering October 2004
to August 2023.
4. Results and Discussion
4.1. Performance of 52w based Quintiles
Our study spans from October 2004 to August 2023 and covers 227 monthly returns. The portfolios are
divided into two weighting schemes: Equal-Weighted (EW) and Market-Weighted (MW). Stocks are also sorted
into quintiles based on their proximity to 52-week highs. A clear trend emerges: stocks closer to their 52-week
highs generally perform better, especially in EW portfolios.
Figure A1 shows the mean excess returns above the risk-free rate and their accompanying standard deviations
for quintile portfolios generated using 52w metric. The panel on the left illustrates equal-weighted (EW)
portfolios, while the right panel portrays market-weighted (MW) portfolios, Quintile 1 portfolios, characterised by
stocks far removed from their 52-week highs, yield lower returns and greater volatility than Quintile 5 portfolios,
which are close to 52-week highs.
Table A1 provides comprehensive statistics for both EW and MW portfolios, the popular Nifty 100 benchmark
total return index and a relevant “Average Universe", including excess returns, standard deviations, and Sharpe
ratios. For the EW portfolios, the average universe is the monthly average of all quintile portfolios, whereas, for
1
For further universe details, see Raju (2022b).
2
Accessible at https://invespar.com/research.
Sep 2023 5
the MW portfolios, it is the market factor.
The results of the Equal-Weight Portfolio (EW) show a clear performance gradient when the portfolios are
sorted based on proximity to their 52-week highs. For example, Quintile 1, which includes stocks farthest from
their 52-week highs, shows a negative mean excess return of -16.4%, coupled with a high volatility of 36.9%. In
stark contrast, Quintile 5, filled with stocks closest to their 52-week highs, boasts a positive mean excess return
of 8.1% and lower volatility of 24.0%. The trend is monotonic: as we move from Quintile 1 to Quintile 5, the
mean excess return improves, and volatility decreases.
The Sharpe ratios are in line with these findings. Quintile 5 produces a Sharpe ratio of 0.34, dwarfing the
-0.44 of Quintile 1. Quintile 5 has Sharpe ratio t-values that show robust statistical outperformance against the
average of the universe but does not outperform the Nifty 100. From a CAPM perspective, significant negative
alpha is observed in all quintiles, with the exception of quintile 5, where the hypothesis of alpha being zero
cannot be rejected. Betas generally exceed 1, except for Quartile 5, indicating a high level of market sensitivity.
Adjusted R-square values show that only a moderate portion of portfolio returns are explained by the market.
In addition to individual quintiles, the market-neutral long-short portfolio, termed as Q5_less_Q1, merits
attention. This portfolio shows a mean excess return of 21.6%, which is substantially higher than any individual
quintile. Interestingly, it achieves this performance with a relatively lower annual standard deviation of 19.2%.
The Sharpe ratio for this portfolio is high at 1.12, outperforming all individual quintiles and the NIFTY100
benchmark (0.37). The Sharpe ratio t-values are compelling, too, both indicating statistical significance. CAPM
analysis reveals a significant alpha of 2.26, further attesting to its market-beating capability. However, its
negative skewness indicates the need for caution, as it suggests periods of significant underperformance.
The Market Weight (MW) portfolios offer a similar, albeit more negative, narrative. Quintile 1 suffers from a
staggering negative mean excess return of -24.3% and volatility of 42.4%. The Sharpe ratios increase by quintile,
but the performance lags the Nifty 100 significantly for all quintiles. CAPM analysis reveals that alphas are
significant and negative across the quintiles. Betas are generally high, but adjusted R-squared values are closer
to 1, indicating a better fit to market movements in MW portfolios than in EW portfolios.
The market-neutral strategy in the MW portfolios, Q5_less_Q1, shows a mean excess return of 20.4%. The
Sharpe ratio for this portfolio is lower than its EW counterpart at 0.67 which is statistically better than that of
the Nifty 100. The CAPM alpha is significant at 2.74 , but it is easy to deduce that all performance comes from
the short leg (Quintile 1). Given the practical shorting constraints in India, this performance and, to a lesser
extent, that of the EW long-short are likely more theoretical than realisable.
In both the EW and MW portfolios, the closer the stocks are to their 52-week highs, the better they perform
in terms of mean excess return, volatility, and Sharpe ratio. However, the EW portfolios show better performance
Sep 2023 6
than the MW portfolios.
4.2. Performance of Size - 52w based Quartile Portfolios
This subsection explores the relationship between stock size and the 52-week high effect in the Indian stock
market from October 2006 to August 2023, a span of 203 months.This period is dictated by the availability of
data for the smallest size category (1000+). Firms are categorised into four size buckets: Top 200, 201-500,
501-1000, and 1000+. To ensure well-diversified portfolios, especially in the Top 200 category, we use quartiles
rather than quintiles. As previously observed, equal weighting (EW) outperforms market weighting (MW);
therefore, only EW portfolios are analysed. By varying the observation period and the use of quartiles, this
analysis also serves as a measure of robustness in our examination of the 52-week high effect.
Figure A2 provides a graphical summary of the results. Generally, volatility decreases, while returns increase
across different size quartiles. However, the 52-week high effect is more pronounced in the 201-500 and 501-1000
categories compared to the Top 200 and 1000+ categories.
Table A2 offers a more granular view. Stocks closest to their 52-week highs (quartile 4) typically exhibit
higher mean excess returns across all size categories. Quartile 4 portfolios across size categories also outperform
the mean excess returns for the Nifty100, except for the smallest (1000+). Sharpe ratios are highest for Quartile
4 in the Top 200, 201-500, and 501-1000 categories. However, the t-values indicate that these Sharpe ratios are
not always significantly different from the Nifty 100 benchmark or the average universe portfolio. For example,
among the top 200 stocks, the Sharpe ratio of Quartile 4 is 0.19. Its t-value against the average universe is 9.22,
and against the Nifty100 it is -1.49. The Sharpe ratios for 201-500 and 501-1000 are higher at 0.26 and 0.14
respectively. Quartile 4 in these two size categories has a higher return despite the higher volatility. The Sharpe
ratio t-values are higher than those for the Top 200 Quartile 4, but both ratios do not show a high confidence
level in the outperformance of risk-adjusted returns against the Nifty 100. However, the portfolios’ negative
skewness warrants caution as it indicates periods of underperformance.
In terms of regression of the size-52w quartile portfolio excess returns against the Capital Asset Pricing
Model (CAPM), statistically significant negative alphas at the 5% level are observed in Quartile 1 across all size
categories, while we cannot reject the alpha equal to zero hypothesis for Quartile 4 portfolios. As seen earlier,
Quartile 1 portfolios are high beta portfolios, while Quartile 4 portfolios have betas less than or close to 1.
Portfolios formed by the difference in returns between Quartile 4 and Quartile 1 (Quartile 4 less Quartile 1)
show significant Sharpe ratio t-values against the Nifty 100 and statistically significant positive CAPM alphas
with negative market betas. The large negative excess returns of the Quartile 1 portfolios indicate that the
outperformance, once again, comes from the short side. None of the Quartile 4 portfolios outperforms the Nifty
100.
Sep 2023 7
In summary, the findings corroborate the general 52-week high effect: stocks near their 52-week highs tend
to offer higher returns and Sharpe ratios even after controlling for size of firm. However, the significance of this
effect varies depending on the size of the stocks.
4.3. Performance of 52-Week Fama-French Winner-Loser Portfolios
We extend our portfolio analysis using the 2x3 Fama-French framework, tailored for the Indian market as
described in Raju (2022b). Stocks are sorted monthly into two size groups: ‘Big’ for the top 90% by market cap
and ‘Small’ for the bottom 10%. Simultaneously, they are sorted into ‘Winner’, ‘Neutral’, and ‘Loser’ categories
based on the 30th and 70th percentiles of the 52-week performance metrics for Big stocks. This minimises
the impact of outliers from Small stocks. We employ both equal-weighting and market-weighting schemes for
portfolio construction.
Table A3 provides summary statistics from October 2004 to August 2023. In Panels A and B, equal-weighted
and market-weighted portfolios are examined, respectively. Winner Big (WB) and Winner Small (WS) portfolios
consistently outperform their Loser counterparts (LB and LS), supporting the 52-week high effect. However,
the Winner portfolios do not exhibit a significant CAPM alpha, while the Loser portfolios show negative and
significant alphas. Winner minus Loser (W M L52W ) portfolios based on the 52-week high metric offer robust
CAPM alpha and significant Sharpe ratios relative to the Nifty 100.
In line with the results in Subsection 4.1, equal-weighted Winner portfolios outperform their market-weighted
counterparts. However, when considering market-neutral W M L52W portfolios, market-weighted versions yield
better CAPM metrics but lower Sharpe ratios. Similar to earlier analyses, the Fama-French 2x3 portfolios also
exhibit negative skewness.
In summary, the 52-week high Winner portfolios consistently outperform the Loser portfolios across both
weighting schemes. This outperformance is statistically significant, reaffirming the efficacy of the 52-week high
strategy in the Indian equity market.
4.4. Factor exposures of Quintile, Size-Quartile, Winner-Loser Portfolios
Our methodology demonstrates robustness by employing multiple portfolio construction frameworks, different
time spans, and different weighting schemes. Across all methods and conditions, we find consistent evidence
supporting the 52-week high effect in the Indian equity market. Specifically, portfolios composed of ‘Winner’
stocks, those close to their 52-week highs, consistently outperform ‘Loser’ portfolios across both equal and
market-weighted schemes. This outperformance is observed in different size categories and persists even when
portfolios are adjusted for market risk using the CAPM framework. These findings are statistically significant
and are valid in various portfolio construction methods, reaffirming the efficacy of the 52-week high trading
Sep 2023 8
strategy in the Indian equity market.
Next, we examine the factor exposures of these portfolios regressing monthly excess portfolio returns over
the risk-free rate against the Fama French 5-factor plus momentum factor tailored for India:
Ri,t = α + βM F + βSM B SM B5 + βHM L HM L + βRM W RM W + βCM A CM A + βW M L W M L + εi,t (3)
where Ri,t is the excess return for portfolio i in period t, α is the intercept, β is the coefficient for the market factor
(M F ), βSM B is the coefficient on the size factor (SM B5), βHM L is the coefficient on the value factor (HM L),
βRM W is the coefficient on the profitability factor (RM W ), βCM A is the coefficient on the investment factor
(CM A), βW M L is the coefficient on the momentum factor (W M L), and εi,t is the residual error term for period t.
Table A4 reports factor exposures using the Fama-French 5-factor plus momentum model tailored for India
for the EW and MW Quintile portfolios. For the EW portfolios (panel A), all quintiles show significant exposure
to the market factor (MF) and the size factor (SM B5 ). The MF and SM B5 coefficients reduce as the portfolios
are formed with stocks closer to their 52-week highs. In particular, the alpha is significantly negative across all
quintiles but becomes positive for the market-neutral strategy of Quintile 5 less Quintile 1. In market-weighted
portfolios (panel B), the alphas are again largely negative except for the market-neutral strategy, which shows a
significantly positive alpha. Both panels suggest significant exposure to the momentum factor (WML), especially
in higher quintiles. The adjusted R-squared values are generally high, indicating a good fit of the model. None
of the other factors plays a significant role. However, there is a statistically significant and negative HM L
coefficient in Quintile 5 less Quintile 1, indicating an expensive bias for the market-neutral portfolio. These
factor exposures elucidate the risk and return characteristics of portfolios sorted by their proximity to 52-week
highs and offer a comprehensive view of their performance dynamics.
Table A5 reveals nuances in the impact of the 52-week high effect in different stock sizes using the quartile
portfolios. While alphas are generally negative across quartiles and size categories, the magnitude of the alphas
becomes less negative as we move from Quartile 1 to Quartile 4. Notably, the 52-week high effect seems to be
weaker for the largest 200 stocks, where the alpha for Quartile 4 less Quartile 1 is the weakest. Note that it also
has the highest exposure to W M L. This exposure to traditional momentum factor reduces as the firm sizes
become smaller. For stocks ranked 501-1000 in size, the alphas are most positive in Quartile 4 less Quartile 1
returns, indicating a stronger 52-week high effect.
The market factor (MF) and size factor (SM B5 ) are significant across most quartiles, consistent with
quintile portfolios. Again, as firms show a higher 52-week high effect, the market beta and the size factor
coefficient reduce, implying less volatile portfolios and less small size. The Top 200, as expected, have the lowest
exposure to SM B5 . Top 200’s quartile 1 has the lowest SM B5 coefficient across all the 16 (4x4) size-quartile
portfolios. This result is aligned with the broader finding earlier: the 52-week effect is weakest in the Top 200 firms.
Sep 2023 9
The momentum factor (W M L) increases positively from Quartile 1 to Quartile 4 across all size categories,
echoing the quintile results in the earlier subsection. However, the exposures to the value factor (HM L) and the
investment factor (CM A) vary more between the size quartile portfolios compared to the quintile portfolios.
Adjusted R-squared values are high, affirming the reliability of the model.
In summary, the results are largely aligned with those of the quintile portfolios. The varying exposures to
HM L and CM A add complexity, but the most intriguing finding is that the strength of the 52-week high effect
varies by firm size: appears to be stronger in medium-sized stocks (501-1000) and weaker among the largest 200
stocks.
Table A6 examines the winner and loser portfolios, our third construction method. Alphas are negative for
both, but more so for losers. The market-neutral Winner Minus Loser (W M L52W portfolio yields a positive
alpha, suggesting profitable arbitrage. The market factor (MF) is significant across all portfolios, with Winners
having lower betas than Losers, aligning with earlier results.
The size factor (SM B5 ) is more nuanced. By design, the MW Winner Big portfolio shows the only negative
and significant coefficient (exposure to Big firms). On the contrary, the EW Winner Big portfolio shows a positive
and significant SM B5 coefficient. This indicates that even amongst the reduced universe consisting of only Big
firms, the 52-week effect is weaker in the largest firms relative to less large firms. Winners show moderate SM B5
exposure, while Losers show higher exposure, especially in LS portfolios. This is similar to the analyses of the quin-
tile and size quartile (other than for the Top 200 firms), where SM B5 decreaes as the quintiles (quartiles) increase.
The momentum factor (W M L) is strikingly positive for Winners and negative for Losers, intensifying in the
Winner Minus Loser portfolio. This is consistent with the results of the quintile and size quartile, where W M L
also showed significance.
The Value factor (HM L) has a limited role in the long-only portfolios, except in the EW Loser Big portfolio
and consequently in the EW Loser portfolio. However, in the EW market neutral portfolio, like in the quintile
and size-quartile analysis, a statistically significant and negative coefficient is seen. The 52-week effect implies
that firms close to or at 52-week highs are “expensive” firms, a conclusion that is intuitive and aligned with the
behavioural anchoring theory.
The profitability (RM W ) and investment (CM A) factors play a very limited role in explaining the average
returns of the portfolios sorted by the 52-week high. In the EW portfolios, the Loser portfolios show a tilt
to W eak firms with the significant and negative RM W coefficient. The EW Winner Small portfolio is a
Conservative one, and this is also seen in the EW Winner portfolios. The MW Lose portfolio shows exposure
to W eak and Aggressive firms.
Sep 2023 10
Adjusted R-squared values remain high, confirming the reliability of the six-factor model. In the EW and
MW weighting schema, the adjusted R-sqaured for the W M L52W is close to 0.8, unlike in the quintile analysis,
where EW Quintile 5 less Qunitile 1 is lower than that of its MW counterpart.
In summary, the winner-loser analysis echoes the quintile and the size-quartile results in aspects like M F
and W M L. However, it shows more complexity in SM B5 , HM L, and CM A. The positive alpha in the Quintile
5 Minus Quintile 1, Quartile 4 Minus Quartile 1 and Winner Minus Loser portfolios is particularly intriguing
and aligns with the idea of profitable market anomaly and therefore arbitrage opportunities. There are subtle
nuances in the outcomes due to portfolio construction, indicating opportunities for investment managers to
generate craftsmanship alpha (Israel, Jiang, and Ross, 2017), the skilful targeting and capture of style premia.
4.5. The 52-week high effect compared to the Momentum effect
In this section, we examine how the 52-week high momentum effect (W M L52W ) differs from traditional
momentum (W M L). We use the Fama-French 5 factors plus the Momentum factor to show that W M L52W is
not merely a replication of W M L. Both equal-weighted (EW) and market-weighted (MW) W M L52W portfolios
exhibit positive alpha, with 20% of returns unexplained by the FF5 plus momentum model.
We construct W M L52W similarly to W M L, using the methodology described in Raju (2022b). Our sample
comprises 4,331 firms listed on the NSE or BSE, as detailed in Table A7. The number of firms and market
capitalisation have increased significantly during the sample period, as shown in the table. The median number
of firms in the 2x3 portfolios used to create W M L52W is well diversified, making it unlikely that the weighting
schemes would drastically affect the results (Table A8).
Figure A3 shows the wealth index for W M L, equal-weighted and market-weighted W M L52W and the Nifty
100 TR in excess of the risk-free rate between October 2004 and August 2023. Both weighting schemes of
W M L52W consistently outperform W M L (from 2009) and Nifty 100 (from 2012). The drawdown periods of
W M L52W are similar to those of W M L, except that they are shallower. Figure A4 shows the annualised mean
returns and standard deviations for W M L52W , W M L and Nifty 100 excess TR. During the sample period,
W M L52W has a better risk-adjusted return than Nifty 100 and W M L. EW W M L52W has a better Sharpe
ratio than in MW counterpart, 0.83 versus 0.75 (Table A4). Our findings of the superiority of W M L52W over
traditional W M L are aligned with those of Marshall and Cahan (2005) in the Australian market.
Table A9 presents the correlation matrix of the factors. All correlations are statistically significant at the
p < 0.05 level. The 52-week high momentum factors, both market-weighted (W M L52W
M W ) and equal-weighted
(W M L52W
EW ), show strong negative correlation with MF, similar in direction to WML, but a much stronger
relationship. The high correlation between W M L52W 52W

M W and W M LEW suggests that portfolio weighting schemes
Sep 2023 11
do not significantly impact the fundamental 52-week high-momentum strategy. This echoes the earlier results in
Table A6, where both weighting methodologies produce similar significant and positive alphas in Winner Minus
Loser portfolios. W M L and both W M L52W have high, but not perfect, correlations.
In summary, the results confirm that W M L52W and W M L are distinct market anomalies in the Indian
market, similar to the findings of Liu et al. (2011). The observed correlations and alphas offer valuable insights for
investment managers seeking to capitalise on momentum-based anomalies. The W M L52W factor, in particular,
presents another perspective for style strategies.
4.6. The 52-week high effect Reversals to the Momentum effect
Jegadeesh and Titman (1993) had shown that momentum persists in the near term. Beyond 12 months,
performance dissipates. Raju and Chandrasekaran (2019) shows the same in Indian equities. This section
investigates the decay in returns for 52-week high portfolios over various holding periods, comparing it to
academic momentum. We expect returns to decay over time, similar to traditional momentum.
First, we examine monthly returns for W M L52W and W M L portfolios held for 1, 3, 6, 9, 12, and 24 months.
Both the equal-weighted (EW) and market-weighted (MW) schemes are used. The two-sample Kolmogorov-
Smirnov (KS) test checks if returns from different holding periods deviate from a 1-month baseline. Significance
levels are Bonferroni corrected.
We calculate holding period returns aligned with the traditional Fama-French factor model. Portfolios are
based on size and momentum characteristics and are rebalanced at 1, 3, 6, 9, 12, and 24 month intervals. The
unique feature of our methodology lies in the computation of returns for overlapping holding periods, thereby
enabling us to capture the decay in momentum premiums. Specifically, for a holding period of n months, n
separate portfolios are formulated. Each portfolio is initiated in a different month within period of n months and
is held for n months. For example, for a two-month holding period with the start period of 31 December 2010,
we would average monthly returns for two portfolios, one created using data of market close on 31 December
2010 and the second using data from the close of market on 31 January 2011, both where the stocks are held for
two months, respectively. The monthly return for any given monthly holding period is then the average of the
returns from all overlapping portfolios. This method mitigates the idiosyncratic risks associated with individual
portfolio returns, ensuring that the results are both rigorous and generalisable.
For the 52-week high strategy, the decay is evident but moderate. Table A10 shows the mean monthly return
and the KS statistic for both the EW and the MW 52-week high factor and the academic momentum factor for
the holding periods. The mean returns for the 52-week high factor reduce monotonically. Longer holding periods
mean lower return. This is similar to the decay in traditional momentum returns as holding periods increase. In
the equal-weighted (EW) W M L52W factor, mean monthly returns start at 1.2% for a 1-month holding period
Sep 2023 12
and decrease to 1.0% and 0.8% for 6 and 12 month holding periods, respectively. This is decay of 16% and 0.8%
respectively For the market-weighted version (MW), the returns start at 1.3% and decrease to 16% and 35%
for 6 and 12 month holding periods, respectively. Over a 24-month holding period, the mean monthly returns
decay even further in both EW and MW portfolios. Statistically significant KS statistics in the 12 and 24 month
holding periods affirm this decay, even after applying the Bonferroni correction.
When comparing the two strategies, the decay is more pronounced in academic momentum. Starting at a
lower base of 0.8% for a 1-month holding period, the mean monthly returns decay by 38% and 59% for 6 and 12
month holding periods, respectively. KS statistics confirm this decay as statistically significant for 12 months
and beyond, similar to the results of Jegadeesh and Titman (1993).
For robustness, we examine alphas and W M L coefficients when regressing the returns of long-short portfolios
of different holding periods using Equation 3. Decay over holding periods implies lower intercepts and lower
exposure to the momentum factor. Earlier in Table A6, we observed a consistent and robust alpha for both the
EW and MW W M L52 strategies. The results of the Fama-French 5-factor plus momentum regression in Table
A11 demonstrate that the 52-Week High strategy yields statistically significant intercepts in different holding
periods. However, the intercept decays as the holding periods increase. In addition, exposure to the momentum
factor also weakens. Similarly, the academic momentum factor, which shows a perfect coefficient to W M L by
design when the holding period is one month, also decays as the holding periods increase. These findings of the
Fama-French factor regressions serves as another robustness check: increased holding periods decay the 52-week
high and momentum effect.
In summary, both 52-week high and academic momentum show decay over time, with the former being more
stable. This provides insight to practitioners in portfolio construction as they look to capture the craftsmanship
alpha in momentum styles and adds a new dimension to the debate on alternative momentum indicators.
5. Conclusion
We find that the 52-week high effect has predictive power and differs significantly from academic momentum.
This suggests different underlying causes of these phenomena.
Behavioural theories such as anchoring explain momentum as a slow revision of investors’ beliefs, followed by
an overreaction (Barberis et al., 1998). This overreaction corrects over time (Daniel et al., 1998). The 52-week
high serves as a salient anchor for investors. Our results show that the predictive power of this anchor is not
solely based on extreme past returns. This aligns with George and Hwang (2004); Saurav et al. (2023) and
confirms the role of price levels in investor decision making.
We also find that long-term reversals exist in 52-week high strategies, just as in academic momentum.
Sep 2023 13
However, the performance decrease is less pronounced for the 52-week high strategy compared to the academic
momentum. This suggests that these two phenomena are not driven by the same underlying factors. Our findings
contrast with George and Hwang (2004), who did not observe such reversals in the US market for the 52-week
high effect. This difference in decay, coupled with higher alphas, implies that the 52-week high and academic
momentum are driven by different market responses to news.
In summary, our study highlights the importance of the 52-week high as a separate and robust phenomenon
in the Indian equity market. It offers a more stable alpha compared to academic momentum, potentially enriching
portfolio construction strategies. The results contribute to the ongoing discourse on alternative momentum
indicators and the behavioural biases that influence them.
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Sep 2023 15
Fig. A1: Annualised Returns and Standard Deviations: Equal-Weighted and Market-Weighted Quintile
Portfolios, October 2004–August 2023
Source: Author’s calculations using LSEG Datastream and Invespar India Factor Data Library data.
Quintile portfolios are constructed using 52w metrics. Monthly return time series are computed with equal- and market
weight portfolios. Annualised mean returns in excess of risk-free rates and their standard deviations are plotted with
best-fit polygonal lines.
Table A1: Summary Statistics: Equal-Weighted and Market-Weighted Quintile Portfolios, October 2004–August
2023
Panel A: Equal-Weighted Portfolios
Quintile 5
Avg
Q_1 Q_2 Q_3 Q_4 Q_5 Less NIFTY100
Universe
Quintile 1
Statistic
Mean Excess Return (Ann %) -16.41 -3.58 -0.39 3.33 8.06 21.56 8.20 -1.89
Ann Std Dev (%) 36.89 33.11 29.76 27.09 23.98 19.25 21.92 29.64
Sharpe -0.44 -0.11 -0.01 0.12 0.34 1.12 0.37 -0.06
t-value (Avg Univ) -16.40 -5.32 6.97 13.74 14.93 8.88 9.74 na
t-value (NIFTY100) -14.09 -10.22 -8.79 -6.11 -0.91 6.13 na -9.74
Skewness 0.12 -0.27 -0.61 -0.93 -1.28 -1.49 -0.34 -0.57
CAPM α -2.36*** -1.19*** -0.90*** -0.55** -0.10 2.26*** -0.17** -1.02***
α SE (0.36) (0.29) (0.26) (0.25) (0.24) (0.28) (0.08) (0.26)
CAPM β 1.32*** 1.23*** 1.13*** 1.03*** 0.90*** -0.42*** 0.92*** 1.12***
β SE (0.09) (0.07) (0.06) (0.05) (0.06) (0.09) (0.02) (0.06)
Adj. R-squared 0.69 0.74 0.77 0.79 0.76 0.25 0.96 0.77
Panel B: Market-Weighted Portfolios

Quintile 5
Avg
Universe
Quintile 1
Statistic
Mean Excess Return (Ann %) -24.27 -11.45 -7.31 2.73 3.34 20.39 8.20 11.10
Ann Std Dev (%) 42.39 36.05 29.67 24.26 20.96 30.22 21.92 23.26
Sharpe -0.57 -0.32 -0.25 0.11 0.16 0.67 0.37 0.48
t-value (Avg Univ) -17.79 -17.34 -18.02 -14.66 -11.69 1.65 -7.24 na
t-value (NIFTY100) -16.38 -15.42 -15.89 -11.16 -8.05 2.55 na 7.24
Skewness -0.36 -0.12 -0.57 -0.89 -1.00 0.07 -0.34 -0.50
CAPM α -3.22*** -2.01*** -1.58*** -0.63*** -0.48*** 2.74*** -0.17** -0.00
α SE (0.42) (0.26) (0.19) (0.12) (0.12) (0.48) (0.08) (0.00)
CAPM β 1.57*** 1.41*** 1.21*** 1.01*** 0.85*** -0.72*** 0.92*** 1.00***
β SE (0.09) (0.08) (0.05) (0.03) (0.04) (0.11) (0.02) (0.00)
Adj. R-squared 0.74 0.83 0.89 0.93 0.89 0.31 0.96 1.00
*
Significance levels are marked as *** p<0.01, ** p<0.05, * p<0.1
Notes: Quintile portfolios use the 52w metric. Monthly return series calculated with equal and market weights. In
addition to quintile portfolios, monthly return series for the Nifty 100 and Average for the universe are also calculated.
Annualised returns in excess of risk-free rates, standard deviations, Sharpe ratios, the t-value of the test of the difference
between the Sharpe ratio of the portfolio against the Sharpe ratio of the Average Universe and the Nifty 100 and the
skewness for each quintile portfolio, Q5 - Q1, Nifty 100 and the Universe (the average returns for the quintile portfolios
for EW and the market factor, rmkt − rf , from the factor library for the MW schema). In addition, we show the CAPM
regression alpha and beta with their SE and significance.
Sep 2023 16
Fig. A2: Annualised Returns and Standard Deviations: Equal-Weighted Quartile Portfolios Controlled for Size,
October 2006–August 2023
Firms categorised by market capitalisation into four groups: Top 200, 201–500, 501–1000, and 1000+. Quartile portfolios
constructed with the 52w metric within each group. Monthly returns calculated using equal and market weights.
Annualised mean returns and standard deviations plotted with best-fit polygonal lines.
Sep 2023 17
Table A2: Summary Statistics: Equal-Weighted Size-Quartile Portfolios, October 2006–August 2023
Quartile 4
Avg
Qu_1 Qu_2 Qu_3 Qu_4 Less NIFTY100
Universe
Quartile 1
Size Statistic
Mean Excess Return (Ann %) -12.46 -3.71 1.40 3.90 11.25 5.20 -2.53
Ann Std Dev (%) 34.38 26.63 23.32 20.92 21.48 21.78 25.33
Sharpe -0.36 -0.14 0.06 0.19 0.52 0.24 -0.10
t-value (Avg Univ) -11.17 -3.18 9.23 9.22 4.78 12.63 na
t-value (NIFTY100) -14.65 -12.46 -6.76 -1.49 2.24 na -12.63
Top 200 Skewness -0.16 -0.71 -1.31 -1.20 -1.23 -0.26 -0.95
CAPM α -1.78*** -0.95*** -0.47*** -0.19 1.58*** -0.17** -0.85***
α SE (0.23) (0.14) (0.14) (0.16) (0.31) (0.08) (0.11)
CAPM β 1.38*** 1.10*** 0.96*** 0.81*** -0.56*** 0.92*** 1.06***
β SE (0.07) (0.04) (0.03) (0.06) (0.10) (0.02) (0.03)
Adj. R-squared 0.87 0.92 0.92 0.83 0.37 0.96 0.96
Mean Excess Return (Ann %) -18.29 -9.29 -1.13 6.75 21.70 5.20 -5.54
Ann Std Dev (%) 38.46 32.08 27.30 25.66 20.85 21.78 30.07
Sharpe -0.48 -0.29 -0.04 0.26 1.04 0.24 -0.18
t-value (NIFTY100) -14.66 -12.51 -7.36 0.56 5.98 na -10.84
201-500 Skewness -0.39 -0.67 -1.05 -1.55 -1.35 -0.26 -0.95
CAPM α -2.30*** -1.45*** -0.69*** 0.03 2.33*** -0.17** -1.10***
α SE (0.27) (0.24) (0.22) (0.30) (0.30) (0.08) (0.22)
CAPM β 1.51*** 1.27*** 1.08*** 0.94*** -0.57*** 0.92*** 1.20***
β SE (0.09) (0.07) (0.06) (0.07) (0.09) (0.02) (0.06)
Adj. R-squared 0.84 0.86 0.85 0.74 0.40 0.96 0.87
Ann Std Dev (%) 40.12 35.04 31.48 28.52 18.15 21.78 33.24
Sharpe -0.64 -0.31 -0.08 0.14 1.72 0.24 -0.27
t-value (NIFTY100) -14.75 -11.38 -7.26 -2.11 10.10 na -10.88
501-1000 Skewness -0.23 -0.60 -0.86 -1.39 -1.43 -0.26 -0.78
CAPM α -3.01*** -1.54*** -0.80*** -0.20 2.82*** -0.17** -1.39***
α SE (0.34) (0.31) (0.30) (0.31) (0.26) (0.08) (0.29)
CAPM β 1.49*** 1.33*** 1.20*** 1.05*** -0.45*** 0.92*** 1.27***
β SE (0.10) (0.08) (0.06) (0.08) (0.09) (0.02) (0.08)
Adj. R-squared 0.76 0.78 0.79 0.73 0.33 0.96 0.79
Ann Std Dev (%) 36.07 32.82 29.66 25.20 16.91 21.78 30.44
Sharpe -0.51 -0.11 -0.01 0.11 1.15 0.24 -0.17
t-value (Avg Univ) -15.32 6.69 13.10 12.23 9.28 7.49 na
t-value (NIFTY100) -12.05 -6.56 -4.81 -2.39 6.90 na -7.49
1000+ Skewness 0.22 -0.02 -0.31 -0.63 -1.53 -0.26 -0.18
CAPM α -2.19*** -0.83** -0.54 -0.22 1.97*** -0.17** -0.95***
α SE (0.41) (0.37) (0.35) (0.34) (0.27) (0.08) (0.35)
CAPM β 1.23*** 1.13*** 1.02*** 0.83*** -0.40*** 0.92*** 1.05***
β SE (0.09) (0.09) (0.08) (0.07) (0.07) (0.02) (0.08)
Adj. R-squared 0.63 0.65 0.64 0.59 0.31 0.96 0.65
* Significance levels are marked as *** p<0.01, ** p<0.05, * p<0.1
Notes: Firms categorised by market capitalisation into four groups: Top 200, 201–500, 501–1000, and 1000+. Quartile
portfolios constructed with the 52w metric within each group. In addition to quartile portfolios, monthly return series for
the Nifty 100 and Average for the universe is also calculated. Annualised returns in excess of risk-free rates, standard
deviations, Sharpe ratios, the t-value of the test of the difference between the Sharpe ratio of the portfolio against the
Sharpe ratio of the Average Universe and the Nifty 100 and the skewness for each quartile portfolio, Quartile 4 - Quartile
1, Nifty 100 and the Universe (the average returns for the quartile portfolios for EW schema). Additionally, we show the
CAPM regression alpha and beta with their SE and significance.
Sep 2023 18
Table A3: Summary Statistics: Equal-Weighted and Market-Weighted Fama-French 2x3 Portfolios, October
2004–August 2023
Winner
Avg
WB WS LB LS Winner Loser Minus NIFTY100
Universe
Loser
Statistic
Mean Excess Return (Ann %) 6.01 9.44 -11.38 -7.63 7.94 -9.22 13.55 8.20 0.50
Ann Std Dev (%) 21.67 24.68 34.48 33.86 22.29 33.18 16.32 21.92 26.37
Sharpe 0.28 0.38 -0.33 -0.23 0.36 -0.28 0.83 0.37 0.02
t-value (Avg Univ) 8.87 12.35 -12.72 -11.28 14.27 -15.74 6.37 10.09 na
t-value (NIFTY100) -3.35 0.17 -16.28 -11.70 -0.49 -14.51 3.73 na -10.09
Skewness -1.35 -1.12 -0.17 -0.11 -1.39 -0.22 -1.81 -0.34 -0.87
CAPM α -0.28* 0.05 -2.02*** -1.54*** -0.11 -1.78*** 1.67*** -0.17** -0.84***
α SE (0.15) (0.29) (0.21) (0.31) (0.19) (0.22) (0.22) (0.08) (0.17)
CAPM β 0.88*** 0.87*** 1.39*** 1.23*** 0.87*** 1.31*** -0.44*** 0.92*** 1.07***
β SE (0.05) (0.06) (0.06) (0.07) (0.05) (0.06) (0.08) (0.02) (0.04)
Adj. R-squared 0.88 0.67 0.87 0.72 0.83 0.84 0.39 0.96 0.89

Winner
Avg
Universe
Loser
Statistic
Mean Excess Return (Ann %) 2.82 8.94 -10.88 -13.40 6.14 -11.89 14.09 8.20 -1.71
Ann Std Dev (%) 21.39 25.69 34.21 35.46 22.47 34.09 18.69 21.92 26.58
Sharpe 0.13 0.35 -0.32 -0.38 0.27 -0.35 0.75 0.37 -0.06
t-value (Avg Univ) 5.90 12.64 -9.69 -14.50 12.63 -14.50 6.49 13.99 na
t-value (NIFTY100) -8.29 -0.60 -16.45 -15.35 -3.16 -16.47 3.14 na -13.99
Skewness -0.93 -1.55 0.06 -0.50 -1.46 -0.25 -1.72 -0.34 -1.00
CAPM α -0.52*** -0.03 -1.98*** -2.17*** -0.27* -2.07*** 1.80*** -0.17** -1.06***
α SE (0.15) (0.28) (0.21) (0.26) (0.16) (0.19) (0.24) (0.08) (0.12)
CAPM β 0.85*** 0.94*** 1.37*** 1.39*** 0.90*** 1.38*** -0.48*** 0.92*** 1.11***
β SE (0.05) (0.08) (0.07) (0.08) (0.06) (0.06) (0.10) (0.02) (0.03)
Adj. R-squared 0.86 0.73 0.87 0.83 0.86 0.89 0.36 0.96 0.95
*
Notes: Portfolios are sorted by size and the 52w metric, following the method in Fama and French (2015). Stocks are
classified monthly into Big (top 90% market cap) or Small (bottom 10%). They are also labelled as ‘Winner’, ‘Neutral’,
or ‘Loser’ based on the 30th and 70th percentiles of the 52w metrics for Big stocks. W B, W S, LB, and LS are portfolios
for Winner Big, Winner Small, Loser Big, and Loser Small, respectively. ‘Winner’ and ‘Loser’ represent monthly average
excess returns of these portfolios. Panel A covers equal-weighted stock portfolios; Panel B covers market-weighted ones.
CAPM α and β, along with their standard errors (SE) and significance, are also reported.
Sep 2023 19
Table A4: Fama-French and Momentum Factor Exposure Summary: Equal-Weighted and Market-Weighted
Quintile Portfolios, October 2004–August 2023
Quintile 5
Avg
Universe
Quintile 1
Statistic
FF6 α -2.64*** -1.61*** -1.43*** -1.18*** -0.85*** 1.79*** -0.06 -1.54***
α SE (0.24) (0.16) (0.12) (0.12) (0.14) (0.27) (0.07) (0.12)
MF β 1.00*** 1.00*** 0.96*** 0.92*** 0.86*** -0.14*** 0.96*** 0.95***
β SE (0.05) (0.04) (0.03) (0.04) (0.03) (0.05) (0.02) (0.03)
SM B5 1.10*** 1.04*** 0.96*** 0.86*** 0.78*** -0.32*** -0.17*** 0.95***
SM B5 SE (0.08) (0.06) (0.04) (0.04) (0.04) (0.08) (0.03) (0.04)
HM L 0.24** 0.12* 0.06 0.08 -0.05 -0.29*** 0.04 0.09
HM L SE (0.10) (0.07) (0.05) (0.06) (0.07) (0.10) (0.04) (0.06)
RM W -0.22** -0.15** -0.12*** -0.07* -0.08* 0.14 0.11*** -0.13***
RM W SE (0.09) (0.07) (0.04) (0.04) (0.04) (0.10) (0.03) (0.04)
CM A 0.03 0.13 0.15** 0.18** 0.23*** 0.19 -0.00 0.14*
CM A SE (0.14) (0.09) (0.07) (0.09) (0.08) (0.14) (0.03) (0.08)
WML -0.25*** -0.16*** -0.03 0.09*** 0.23*** 0.48*** -0.04 -0.03
W M L SE (0.06) (0.05) (0.03) (0.03) (0.03) (0.07) (0.03) (0.03)
Adj. R-squared 0.89 0.94 0.96 0.96 0.94 0.59 0.98 0.96

Quintile 5
Avg
Universe
Quintile 1
Statistic
FF6 α -2.76*** -1.51*** -1.34*** -0.66*** -0.80*** 1.96*** -0.06 -0.00
α SE (0.32) (0.25) (0.18) (0.14) (0.12) (0.34) (0.07) (0.00)
MF β 1.23*** 1.17*** 1.09*** 1.00*** 0.94*** -0.29*** 0.96*** 1.00***
β SE (0.06) (0.06) (0.04) (0.03) (0.02) (0.06) (0.02) (0.00)
SM B5 0.51*** 0.22** 0.18*** 0.07 -0.01 -0.52*** -0.17*** 0.00***
SM B5 SE (0.10) (0.09) (0.05) (0.05) (0.03) (0.11) (0.03) (0.00)
HM L 0.53*** 0.27*** -0.08 0.02 -0.00 -0.53*** 0.04 -0.00
HM L SE (0.16) (0.09) (0.09) (0.06) (0.05) (0.17) (0.04) (0.00)
RM W -0.11 -0.18* -0.09 0.12** 0.09** 0.20 0.11*** -0.00*
RM W SE (0.12) (0.10) (0.07) (0.06) (0.04) (0.12) (0.03) (0.00)
CM A 0.01 -0.21* -0.17*** 0.02 0.05 0.04 -0.00 0.00
CM A SE (0.12) (0.12) (0.06) (0.07) (0.06) (0.13) (0.03) (0.00)
WML -0.59*** -0.43*** -0.26*** -0.07* 0.25*** 0.84*** -0.04 -0.00
W M L SE (0.09) (0.09) (0.05) (0.04) (0.03) (0.09) (0.03) (0.00)
Adj. R-squared 0.87 0.91 0.93 0.93 0.93 0.70 0.98 1.00
*
Notes: Factor exposures for the Quintile portfolios, Qunitile 5 - Quintile1, Nifty 100 and Avg. Universe using equation 3
along with standard errors and significance.
Sep 2023 20
Table A5: Fama-French and Momentum Factor Exposure Summary: Equal-Weighted Size-Quartile Portfolios,
October 2006–August 2023
Quartile 4
Avg
Qu_1 Qu_2 Qu_3 Qu_4 Less NIFTY100
Universe
Quartile 1
Size Statistic
FF6 α -1.28*** -0.93*** -0.65*** -0.68*** 0.60** -0.07 -0.89***
α SE (0.18) (0.14) (0.13) (0.14) (0.23) (0.08) (0.09)
MF β 1.14*** 1.00*** 0.95*** 0.87*** -0.26*** 0.94*** 0.99***
β SE (0.05) (0.05) (0.03) (0.03) (0.06) (0.03) (0.03)
SM B5 0.14** 0.21*** 0.17*** 0.27*** 0.13 -0.16*** 0.20***
SM B5 SE (0.07) (0.05) (0.04) (0.05) (0.09) (0.03) (0.04)
HM L 0.28*** 0.12 0.01 -0.00 -0.28** 0.04 0.10*
Top 200 HM L SE (0.10) (0.08) (0.07) (0.07) (0.12) (0.05) (0.05)
RM W -0.11 0.02 -0.01 0.04 0.15* 0.10*** -0.02
RM W SE (0.07) (0.05) (0.04) (0.05) (0.08) (0.03) (0.04)
CM A -0.14* -0.09 -0.09 0.08 0.22** -0.02 -0.06
CM A SE (0.08) (0.07) (0.08) (0.07) (0.10) (0.04) (0.05)
WML -0.42*** -0.10*** 0.12*** 0.28*** 0.70*** -0.05* -0.03
W M L SE (0.06) (0.04) (0.03) (0.04) (0.06) (0.02) (0.03)
Adj. R-squared 0.95 0.94 0.94 0.90 0.74 0.97 0.97
FF6 α -2.15*** -1.61*** -1.06*** -0.60*** 1.55*** -0.07 -1.36***
α SE (0.17) (0.15) (0.14) (0.20) (0.26) (0.08) (0.10)
MF β 1.19*** 1.08*** 0.94*** 0.87*** -0.32*** 0.94*** 1.02***
β SE (0.04) (0.03) (0.03) (0.04) (0.05) (0.03) (0.03)
SM B5 0.75*** 0.72*** 0.70*** 0.80*** 0.05 -0.16*** 0.75***
SM B5 SE (0.06) (0.04) (0.04) (0.05) (0.08) (0.03) (0.03)
HM L 0.13* 0.05 0.09 -0.04 -0.17 0.04 0.06
201-500 HM L SE (0.08) (0.06) (0.06) (0.07) (0.11) (0.05) (0.04)
RM W -0.19*** -0.07 -0.01 -0.05 0.14 0.10*** -0.08**
RM W SE (0.06) (0.05) (0.04) (0.06) (0.10) (0.03) (0.03)
CM A -0.19** -0.14 -0.06 -0.09 0.10 -0.02 -0.12**
CM A SE (0.08) (0.08) (0.07) (0.10) (0.13) (0.04) (0.05)
WML -0.38*** -0.15*** 0.01 0.22*** 0.60*** -0.05* -0.08***
W M L SE (0.05) (0.04) (0.03) (0.05) (0.07) (0.02) (0.03)
Adj. R-squared 0.96 0.96 0.96 0.89 0.68 0.97 0.98
FF6 α -3.18*** -1.99*** -1.44*** -1.00*** 2.18*** -0.07 -1.90***
α SE (0.17) (0.13) (0.12) (0.16) (0.22) (0.08) (0.10)
MF β 1.11*** 1.08*** 1.03*** 0.94*** -0.17*** 0.94*** 1.04***
β SE (0.04) (0.03) (0.02) (0.03) (0.04) (0.03) (0.03)
SM B5 1.16*** 1.10*** 1.04*** 1.02*** -0.14* -0.16*** 1.08***
SM B5 SE (0.06) (0.04) (0.04) (0.04) (0.07) (0.03) (0.03)
HM L 0.36*** 0.21*** 0.09* 0.10 -0.26** 0.04 0.19***
501-1000 HM L SE (0.08) (0.06) (0.05) (0.07) (0.10) (0.05) (0.05)
RM W -0.17** -0.03 -0.12*** -0.06 0.11 0.10*** -0.09**
RM W SE (0.07) (0.05) (0.04) (0.05) (0.10) (0.03) (0.04)
CM A -0.20** -0.02 0.11 0.13 0.33** -0.02 0.00
CM A SE (0.09) (0.08) (0.08) (0.11) (0.13) (0.04) (0.07)
WML -0.28*** -0.12*** 0.09*** 0.22*** 0.50*** -0.05* -0.02
W M L SE (0.05) (0.04) (0.03) (0.04) (0.06) (0.02) (0.03)
Adj. R-squared 0.95 0.97 0.97 0.94 0.66 0.97 0.98
FF6 α -2.46*** -1.39*** -1.23*** -0.94*** 1.51*** -0.07 -1.50***
α SE (0.31) (0.23) (0.21) (0.23) (0.29) (0.08) (0.21)
MF β 0.88*** 0.88*** 0.82*** 0.70*** -0.18*** 0.94*** 0.82***
β SE (0.07) (0.06) (0.05) (0.05) (0.05) (0.03) (0.05)
SM B5 1.16*** 1.20*** 1.16*** 0.99*** -0.17** -0.16*** 1.12***
SM B5 SE (0.10) (0.08) (0.06) (0.08) (0.08) (0.03) (0.07)
HM L 0.27** 0.17* 0.16** 0.13 -0.15 0.04 0.18**
1000+ HM L SE (0.11) (0.09) (0.08) (0.10) (0.10) (0.05) (0.09)
RM W -0.31*** -0.19** -0.16*** -0.18*** 0.14 0.10*** -0.21***
RM W SE (0.11) (0.08) (0.06) (0.06) (0.10) (0.03) (0.07)
CM A -0.10 0.18 0.15 0.16 0.27* -0.02 0.10
CM A SE (0.20) (0.16) (0.12) (0.14) (0.14) (0.04) (0.14)
WML -0.14* -0.05 0.09* 0.22*** 0.36*** -0.05* 0.03
W M L SE (0.07) (0.06) (0.05) (0.04) (0.05) (0.02) (0.05)
Adj. R-squared 0.86 0.89 0.91 0.86 0.53 0.97 0.90
*
Notes: Factor exposures for the Size Quartile portfolios, Quartile 4 - Quartile 1, Nifty 100 and Avg. Universe using
equation 3 along with standard errors and significance.
Sep 2023 21
Table A6: Fama-French and Momentum Factor Exposure Summary: Equal-Weighted and Market-Weighted
Fama-French 2x3 Portfolios, October 2004–August 2023
Winner
Avg
Universe
Loser
Statistic
FF6 α -0.70*** -0.79*** -1.62*** -1.97*** -0.74*** -1.79*** 1.05*** -0.06 -1.17***
α SE (0.13) (0.16) (0.16) (0.18) (0.11) (0.12) (0.18) (0.07) (0.07)
MF β 0.92*** 0.80*** 1.17*** 0.99*** 0.86*** 1.08*** -0.21*** 0.96*** 0.95***
β SE (0.03) (0.03) (0.04) (0.04) (0.03) (0.03) (0.03) (0.02) (0.02)
SM B5 0.23*** 0.91*** 0.26*** 1.10*** 0.57*** 0.68*** -0.11** -0.17*** 0.60***
SM B5 SE (0.04) (0.05) (0.06) (0.06) (0.03) (0.04) (0.05) (0.03) (0.03)
HM L -0.08 0.00 0.26*** 0.11 -0.04 0.19*** -0.23*** 0.04 0.08**
HM L SE (0.08) (0.08) (0.08) (0.08) (0.06) (0.06) (0.07) (0.04) (0.04)
RM W 0.01 -0.14*** -0.08 -0.19*** -0.06 -0.13*** 0.07 0.11*** -0.08***
RM W SE (0.05) (0.05) (0.06) (0.07) (0.04) (0.05) (0.06) (0.03) (0.03)
CM A 0.11 0.24*** -0.08 0.10 0.17*** 0.01 0.16** -0.00 0.08*
CM A SE (0.09) (0.08) (0.06) (0.10) (0.07) (0.06) (0.08) (0.03) (0.05)
WML 0.22*** 0.26*** -0.43*** -0.16*** 0.24*** -0.30*** 0.54*** -0.04 -0.02
W M L SE (0.04) (0.03) (0.05) (0.05) (0.03) (0.04) (0.05) (0.03) (0.02)
Adj. R-squared 0.92 0.91 0.95 0.93 0.95 0.97 0.78 0.98 0.98

Winner
Avg
Universe
Loser
Statistic
FF6 α -0.84*** -0.91*** -1.37*** -2.35*** -0.87*** -1.86*** 0.99*** -0.06 -1.27***
α SE (0.14) (0.16) (0.20) (0.10) (0.12) (0.12) (0.19) (0.07) (0.06)
MF β 0.94*** 0.89*** 1.19*** 1.14*** 0.92*** 1.16*** -0.24*** 0.96*** 1.03***
β SE (0.03) (0.03) (0.04) (0.02) (0.02) (0.03) (0.04) (0.02) (0.02)
SM B5 -0.08** 0.84*** 0.00 0.90*** 0.38*** 0.45*** -0.07 -0.17*** 0.41***
SM B5 SE (0.04) (0.04) (0.07) (0.04) (0.03) (0.05) (0.06) (0.03) (0.02)
HM L 0.05 0.05 0.12 0.10** 0.05 0.11* -0.06 0.04 0.05*
HM L SE (0.06) (0.07) (0.09) (0.05) (0.05) (0.06) (0.08) (0.04) (0.03)
RM W 0.04 -0.05 -0.10 -0.14*** -0.00 -0.12** 0.12* 0.11*** -0.04*
RM W SE (0.04) (0.05) (0.07) (0.04) (0.04) (0.05) (0.07) (0.03) (0.02)
CM A -0.02 0.09 -0.21** -0.06 0.04 -0.14** 0.17** -0.00 -0.03
CM A SE (0.08) (0.08) (0.09) (0.06) (0.06) (0.05) (0.09) (0.03) (0.03)
WML 0.33*** 0.32*** -0.46*** -0.26*** 0.33*** -0.36*** 0.69*** -0.04 -0.02
W M L SE (0.03) (0.05) (0.07) (0.03) (0.03) (0.04) (0.06) (0.03) (0.02)
Adj. R-squared 0.92 0.93 0.93 0.98 0.95 0.97 0.79 0.98 0.99
*
Notes: Factor exposures for the Winner and Loser portfolios using Fama-French factor methodology, Winner - Loser,
Nifty 100 and Avg. Universe using equation 3 along with standard errors and significance.
Sep 2023 22
Table A7: Descriptive statistics of the market capitalisation of companies
Num Firms Market capitalisation - percentile (Rs million) Total Mkt Cap Average Mkt Cap
(Active) 10% 30% 50% 70% 90% (Rs billions) (Rs millions)
2004-09-30 535 281 1,747 3,903 9,562 47,559 11,669 21,812
2005-09-30 632 411 3,070 7,214 15,342 67,848 20,820 32,943
2006-09-30 1,682 117 340 1,132 3,895 23,280 30,064 17,874
2007-09-28 1,875 150 494 1,367 4,907 35,347 49,064 26,168
2008-09-30 2,006 95 328 926 3,067 23,312 39,193 19,538
2009-09-30 2,050 120 405 1,131 3,840 31,122 55,123 26,889
2010-09-30 2,085 169 585 1,744 5,911 44,076 70,030 33,588
2011-09-30 2,206 125 388 1,206 3,923 34,604 58,441 26,492
2012-09-28 2,351 103 318 1,018 3,790 33,663 64,737 27,536
2013-09-30 2,352 81 248 727 2,805 25,599 62,377 26,521
2014-09-30 2,348 133 452 1,509 6,204 47,312 93,125 39,661
2015-09-30 2,372 145 490 1,600 6,247 50,169 96,358 40,623
2016-09-30 2,393 191 629 1,996 7,814 61,057 109,301 45,675
2017-09-29 2,553 222 694 2,232 9,342 78,801 132,295 51,819
2018-09-28 2,663 201 573 1,860 8,301 74,793 143,963 54,061
2019-09-30 2,606 147 439 1,396 5,951 69,555 145,331 55,768
2020-09-30 2,569 146 437 1,465 6,720 76,636 152,847 59,497
2021-09-30 2,569 282 891 3,039 15,050 138,745 253,167 98,547
2022-09-30 2,598 422 1,282 3,937 17,123 133,454 255,601 98,384
The table shows the cross-sectional percentiles and total and average market capitalisation for various periods ending
September 30 for firms included in our study. This follows the adaptation to Fama and French (2015) made by Raju
(2022b) where a firm’s market capitalisation is taken as the market capitalisation on September 30 of the relevant year.
Table A8: Annual median number of firms in size-52-week high metric for W M L52W factors: September 2004 -
August 2023
Size Small Big

Winner Neutral Loser Winner Neutral Loser
Dates
2004 128 181 162 19 26 19
2005 82 182 183 19 26 19
2006 82 144 292 46 64 46
2007 198 388 934 53 71 53
2008 225 546 936 65 86 65
2009 242 618 981 60 78 60
2010 294 556 996 61 82 61
2011 226 548 1,106 79 104 79
2012 268 560 1,174 73 98 73
2013 240 532 1,348 73 96 73
2014 370 573 1,156 60 80 60
2015 277 588 1,210 83 111 83
2016 312 735 1,050 86 118 86
2017 330 596 1,196 94 126 94
2018 262 562 1,380 107 145 107
2019 198 602 1,520 98 131 98
2020 320 865 1,130 84 114 84
2021 438 574 1,208 86 114 86
2022 386 730 1,106 100 132 100
2023 304 692 1,254 105 140 105
The table shows the annual median of firms in each size-52w double-sorted portfolio that makes up the W M L52W factor.
The breakpoints for Size follow Fama and French (2015) and defined Big stocks are those in India’s top 90% of September
market cap, and small stocks are those in the bottom 10%. The 52w breakpoints are the 30th and 70th percentiles for
the Big stocks. The median for 2004 is from September 2004 and for 2023 till August 2023.
Sep 2023 23
Fig. A3: Wealth Index: Momentum, EW and MW 52-week High Momentum, Nifty100: October 2004–August
2023
Notes: The wealth index shows the value of a factor that starts with an investment of 100 at the end of September 2004.
The figure shows the wealth index for momentum (W M L), and equal-weight and market-weight 52-week high momentum
(W M L52W ) factors, all constructed using the Fama and French methodology adapted for India (Raju, 2022b). The Nifty
100 TR excess returns over risk-free are also plotted as a wealth index. Data is monthly.
Fig. A4: Risk and Return: Momentum, EW and MW 52-week High Momentum, Nifty100: October 2004–
August 2023
Notes: The figure shows the annualised risk (standard deviation) and return for the momentum (W M L), and equal-weight
and market-weight 52-week high momentum (W M L52W ) factors, all constructed using the Fama and French methodology
adapted for India (Raju, 2022b). The Nifty 100 TR excess returns over risk-free are also shown. Data is monthly.
Sep 2023 24
Table A9: Factor correlations: October 2004 - August 2023
MF SM B5 HML RMW CMA WML W M L52W

MW W M L52W
EW
SM B5 0.25***
HML 0.40*** 0.38***
RMW -0.37*** -0.19*** -0.61***
CMA -0.27*** -0.20*** 0.18*** -0.23***
WML -0.34*** -0.20*** -0.30*** 0.30*** 0.27***
52W
W M LM -0.60*** -0.30*** -0.41*** 0.41*** 0.32*** 0.81***
W
52W
W M LEW -0.62*** -0.36*** -0.49*** 0.43*** 0.31*** 0.78*** 0.95***
NIFTY100 0.98*** 0.15** 0.36*** -0.31*** -0.28*** -0.34*** -0.58*** -0.60***
*
Notes: The table shows the correlations between monthly returns. All units and significance levels are specified.
Table A10: Comparison of Mean Returns and KS Statistics for 52-Week High and Academic Momentum
Strategies: October 2004 - August 2023
52-Week High Academic Momentum

EW MW MW
Mean Monthly KS Mean Monthly KS Mean Monthly KS
Return (%) Statistic Return (%) Statistic Return (%) Statistic
Holding Period
(Months)
1 1.18 1.26 0.81
3 1.11 0.079 1.02 0.07 0.70 0.048
6 0.99 0.11 0.91 0.088 0.51 0.075
9 0.87 0.132 0.72 0.11 0.36 0.119
12 0.76 0.154 *** 0.61 0.137 * 0.33 0.141 **
24 0.60 0.181 *** 0.52 0.159 *** 0.31 0.181 ***
*
Notes: The table shows the mean annual returns and the two-sample Kolmogorov-Smirnov (KS) test statistic and the
significance between the monthly returns against the one-month holding returns. The monthly returns for portfolios with
All units and significance levels are specified.
Table A11: Intercept and W M L coefficients from Fama-French 5 plus Momentum Factor Regressions of
52-Week High and Academic Momentum Strategies: October 2004 - August 2023
52-Week High Academic Momentum

EW MW MW
Intercept WML Intercept WML Intercept WML
Coeff SE Coeff SE Coeff SE Coeff SE Coeff SE Coeff SE
Holding Period
(Months)
1 1.05*** (0.18) 0.54*** (0.05) 0.99*** (0.19) 0.69*** (0.06) -0.00 (0.00) 1.00*** (0.00)
3 0.97*** (0.15) 0.52*** (0.04) 0.72*** (0.16) 0.68*** (0.05) -0.12 (0.07) 0.92*** (0.02)
6 0.86*** (0.12) 0.51*** (0.03) 0.64*** (0.13) 0.64*** (0.03) -0.23* (0.13) 0.82*** (0.05)
9 0.75*** (0.11) 0.46*** (0.03) 0.48*** (0.11) 0.58*** (0.03) -0.29* (0.16) 0.67*** (0.05)
12 0.65*** (0.11) 0.41*** (0.03) 0.40*** (0.11) 0.50*** (0.04) -0.24 (0.17) 0.55*** (0.04)
24 0.58*** (0.10) 0.24*** (0.02) 0.45*** (0.10) 0.28*** (0.02) -0.06 (0.15) 0.31*** (0.04)
*
Notes: The table reports the intercept and W M L coefficients of the 6-factor regression model (equation 3) comparing the
returns of equal weight (EW) and market weight (MW) for the 52-week high strategy with those of the MW Academic
Momentum strategy. Portfolio holding periods are 1, 3, 6, 9, 12, and 24 months.
Sep 2023 25

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The 52-Week High Effect and Momentum Investing: Evidence from

Keywords— Factors, Portfolio Construction, 52 week high, Momentum, Indian Equity

JEL Classification Codes G00, G11, C15

Electronic copy available at: https://ssrn.com/abstract=4587697

3. Methodology and Data

4. Results and Discussion

4.1. Performance of 52w based Quintiles

4.2. Performance of Size - 52w based Quartile Portfolios

4.3. Performance of 52-Week Fama-French Winner-Loser Portfolios

4.4. Factor exposures of Quintile, Size-Quartile, Winner-Loser Portfolios

Ri,t = α + βM F + βSM B SM B5 + βHM L HM L + βRM W RM W + βCM A CM A + βW M L W M L + εi,t (3)

4.5. The 52-week high effect compared to the Momentum effect

relationship. The high correlation between W M L52W 52W

4.6. The 52-week high effect Reversals to the Momentum effect

Panel B: Market-Weighted Portfolios

Panel A: Equal-Weighted Portfolios

Panel B: Market-Weighted Portfolios

Panel A: Equal-Weighted Portfolios

Panel B: Market-Weighted Portfolios

Panel A: Equal-Weighted Portfolios

Panel B: Market-Weighted Portfolios

Size Small Big

MF SM B5 HML RMW CMA WML W M L52W

52-Week High Academic Momentum

52-Week High Academic Momentum

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