Hong, Xin; Jordan, Bradford D.; Liu, Mark H. - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 111-130
We find that the 52-week high effect (George and Hwang, 2004) cannot be explained by standard risk factors. Instead, it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell)...