Echo effects and the returns from 52-week high strategies

Echo effects have been shown by the existing literature to influence the performance of conventional return-based momentum portfolios. This effect has yet to be confirmed for 52-week high momentum strategies. Our results show that the 52-week high strategy also manifests an echo effect. Increasing the skip period between the date of portfolio formation and the date of portfolio purchase 3-6 months significantly improves performance in nearly all cases analyzed. The results are robust to both in-sample and out-of-sample analyses. They are also robust to controlling for the effects on the risk of the portfolio from its return exposure to commonly used empirical return factors.