Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied Economics Letters 21 (2014) 17, pp. 1206-1209
This study examines the usefulness of default probability (<italic>DP</italic>) in explaining momentum profits. We follow Merton (1974) in computing the <italic>DP</italic> and then follow Jegadeesh and Titman (1993) in conducting default momentum investing. We consider emerging Taiwanese stock market and divide its stocks into...
