Buy Low and Sell High: The 52‐Week Price Range and Predictability of Returns

This paper uses the ratio of 52‐week high to low prices to construct a self‐financing portfolio strategy, which buys stocks with a low range ratio and sells stocks with a high range ratio according to the behavioral perspective. The results indicate that the profits from this range strategy are substantial and outperform those of 52‐week high and conventional momentum strategies. Moreover, the incremental effect of the range strategy on 52‐week high momentum is significantly positive, while the 52‐week high strategy diminishes this strategy's profitability. Overall, the range measure is better than conventional measures at predicting future returns.