GROSS PROFITABILITY AND 52-WEEK HIGH PRICE


Ozkan N.

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, vol.8, no.2, pp.704-719, 2021 (Journal Indexed in ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 8 Issue: 2
  • Publication Date: 2021
  • Doi Number: 10.30798/makuiibf.790900
  • Title of Journal : JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
  • Page Numbers: pp.704-719
  • Keywords: 52-Week High Price, Gross Profitability, Novy-Marx, Turkey, STOCK RETURNS, MOMENTUM, INVESTMENT, ANOMALIES, SEASONALITY, CONTRARIAN, ATTENTION, EARNINGS, SIZE, RISK

Abstract

The purpose of the study is to measure the conjoint effect of investment strategy based on gross profitability and 52-week high in Borsa Istanbul for the period 2007-2016. The strategy suggests the investors can profit when they take a long position on stocks with high gross profitability and 52-week high, and short position on stocks with low gross profitability and 52-week high. The portfolio method is used in the analysis. The portfolios sorted on 52-week high provide premium but statistically insignificant whereas gross profitability premium is found positively significant. Besides that, the seasonality of profitability returns is observed, though it is weak. When the strategies are analyzed together, the findings exhibit no superior performance of combined strategy despite of positive premium. It may stem from 52-week high effect that is employed as an alternative measure of momentum. This study exhibits a new evidence in the context of the joint effect of strategies. It's considered that forthcoming researches might focus on the combined performances of the other strategies also by employing alternative measures.