Regular Momentum, 52-week high and 26-week high strategies in international stock markets

The profitability of momentum strategies has been subject to extensive research and debate within the literature on the topic. Nonetheless, there are only a few studies reporting variations of the strategy for an actualized time interval encompassing the significant financial crash in 2008. This study reports the Regular Momentum, 52-week high, and 26-week high momentum strategies applied to international stock markets. The study evidences the strategies returns in ten global equity markets, considering a time interval from 1989 to 2019. For the Regular Momentum, we report that nine out of ten countries display positive and significant profits. The 52-week high and 26-week high also generates positive but relatively lower returns, with six out of ten and five out of ten positive and significant profits, respectively. The implementation of the innovative strategy with reduced ranking period presented to be less effective than the others, however, the analysis of the results evidences a high potential, and we propose further research since, in specific countries, the strategy outperforms the other two approaches. Our results point to a correlation between the three strategies within the same countries. In six out of the ten countries analyzed, positive profits tend to coexist among the strategies. This research has led us to conclude that the 52-week high and 26-week high approaches generates, on average, smaller returns than the Regular momentum strategy