Momentum, Sovereign Credit Ratings and Global Equity Markets
Posted: 29 Jan 2015
Date Written: January 26, 2014
This article investigates the link between momentum-based trading strategies implemented in global equity markets and country-specific credit ratings. The findings indicate that only the momentum strategy based on intermediate past returns generate statistically significant profits. Notably, the winner portfolios exhibit a higher average credit rating than the other portfolio groups. Surprisingly, neither global asset pricing models nor a conducted world credit risk factor can explain these profits.
Keywords: asset pricing, global equity markets, international stock indices, credit rating, momentum
JEL Classification: G12, G14
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