Lu, Su-Lien; Lee, Kuo-Jung; Yu, Chia-Chang - In: Applied Financial Economics 24 (2014) 11, pp. 753-762
The article first focused on the traditional momentum strategies, and the distance-to-default of the KMV (Kealhofer, McQuown and Vasicek) model was later applied as the proxy of credit risk. Then, based on the credit risk, two factors January effect and business cycle were added to investigate...