Anchor and Adjust : An inquiry into the 52 Week High and Momentum Investing on the Oslo Stock Exchange in the period 1990 2019

The phenomenon that stocks with relatively high (low) returns in recent months continue to exhibit relatively high (low) returns in the following months – commonly referred to as momentum - is one of the greatest puzzles within the field of empirical asset pricing. We demonstrate that momentum has been present on the Oslo Stock Exchange over the period 1990 through 2019. And by replicating the focal parts of the paper The 52-Week High and Momentum Investing by George & Hwang we show that stocks with a high (low) price level, measured as nearness to their 52-week high price, are associated with high (low) future returns. We further demonstrate that this measure is less dependent on past returns than past returns are on this measure to predict future returns. We thus conclude that price level is a more important determinant of momentum effects than are past price changes in our Norwegian stock sample.