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Relative strength over investment horizons and stock returns

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journal contribution
posted on 30.03.2021, 12:46 by Zhaobo Zhu, Xinrui Duan, Jun TU

In this article, the authors propose a simple and novel measure of relative strength over investment horizons that synthesizes short- and intermediate-term price information. The relative-strength measure compares the short-term price trend with the intermediate-term price trend. The relative strength strategy generates substantial profits, which are greater than a simple sum of traditional short-term reversal and momentum profits. The superior performance of the relative strength strategy is evident after risk adjustments for various factor models and is robust across subperiods and different market conditions. These findings seem consistent with investor conservatism and the idea that investors are slow to adjust to new information.

History

Publication Date

01/11/2019

Journal

Journal of Portfolio Management

Volume

46

Issue

1

Pages

91-105

ISSN

0095-4918

School

Lee Kong Chian School of Business

IRIS ID

138025180

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