Avramov, Doron
[Verfasser:in]
;
Chordia, Tarun
[Sonstige Person, Familie und Körperschaft];
Jostova, Gergana
[Sonstige Person, Familie und Körperschaft];
Philipov, Alexander
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2006 erstellt
Beschreibung:
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