Momentum and Credit Rating  

Oleh:

Avramov, Doron ; Chordia, Tarun ; Jostova, Gergana ; Philipov, Alexander

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2503-2520.
Topik: momentum; momentum; credit rating
Fulltext: p 2503.pdf (94.75KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper establishes a robust link between momentum and credit rating. Momentum profitability is large and significant among low - grade firms, but is is non existent among high - grade firms. The momentum payoffs documented in the literature are generated by low - grade firms that account for less than 4% of the overall market capitalization of rated firms. The momentum payoff differential across credit rating groups is unexplained by firm size, firm age, analyst forecast, dispersion, leverage, return volatility and cash flow volatility.

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