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Impact of credit risk and business cycles on momentum returns

Sarwar, Sirajum Munira; Lin, Sharon X. W.; Muradoğlu, … - In: Handbook of recent advances in commodity and financial …, (pp. 17-39). 2018

Persistent link: https://www.econbiz.de/10011898598

The Changing behavior of the European credit default swap spreads during the Covid‑19 pandemic : a Bayesian network analysis

Cinicioglu, Esma Nur; Kışla, Gül Huyugüzel; Özlem … - In: Computational economics 63 (2024) 3, pp. 1213-1254

Persistent link: https://www.econbiz.de/10014548274

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Momentum, Credit Risk and Business Cycles

Munira, Sirajum - 2010

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...

Persistent link: https://www.econbiz.de/10013147265