Momentum and Credit Rating
This paper establishes a robust link between momentum and credit rating. Momentum profitability is large and significant among low-grade firms, but it is nonexistent 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. Copyright 2007 by The American Finance Association.
Year of publication: |
2007
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Authors: | AVRAMOV, DORON ; CHORDIA, TARUN ; JOSTOVA, GERGANA ; PHILIPOV, ALEXANDER |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 62.2007, 5, p. 2503-2520
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Publisher: |
American Finance Association - AFA |
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