AVRAMOV, DORON; CHORDIA, TARUN; JOSTOVA, GERGANA; … - In: Journal of Finance 62 (2007) 5, pp. 2503-2520
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...