Momentum returns are mainly earned by speculative grade stocks and during contractions. We observe momentum returns of about 2 percent per month (23 percent per annum) in speculative grade stocks and that are more pronounced returns of more than 3 percent per month (25 percent per annum) during...

This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level. We...

This paper investigates the contribution of common components and stock specific components in generating momentum return. Using a decomposition approach in a multi-dimensional framework we report that momentum return resulted from all stocks listed in the NYSE, AMEX and NASDAQ from 1926 through...

We investigate the link between momentum returns, credit ratings, and business cycles. Momentum returns are significant and large in speculative-grade stocks and more so during contraction periods in business cycles. Speculative-grade stocks, on average earn momentum returns of 1.71% per month...