Download This PaperMomentum and Credit Rating
28 Pages Posted: 9 Jun 2005
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Momentum and Credit Rating
Momentum and Credit Rating
Date Written: 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.
Keywords: momentum, credit risk, credit rating
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation
Alexander Philipov
George Mason University - Department of Finance ( email )
Fairfax, VA 22030
United States
HOME PAGE: http://mason.gmu.edu/~aphilipo
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