|
|
|
|
||||
|
||||
Momentum and Credit RatingDoron AvramovHebrew University of Jerusalem Tarun ChordiaEmory University - Department of Finance Gergana JostovaGeorge Washington University - Department of Finance Alexander PhilipovGeorge Mason University - Finance Area March 1, 2006 Abstract: 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 than 4% of the overall market capitalization of rated firms. The momentum payoff differential across credit rating groups is unexplained by firm size, firm age, analyst forecast dispersion, leverage, return volatility, and cash flow volatility.
Number of Pages in PDF File: 28 Keywords: momentum, credit risk, credit rating JEL Classification: G11, G12, G14 working papers seriesDate posted: June 9, 2005Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.422 seconds
