Momentum and credit rating

被引：193

作者：

Avramov, Doron

Chordia, Tarun

Jostova, Gergana

Philipov, Alexander

机构：

来源：

JOURNAL OF FINANCE | 2007年 / 62卷 / 05期

关键词：

D O I：

10.1111/j.1540-6261.2007.01282.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. © 2007 by The American Finance Association.

引用

页码：2503 / 2520

页数：18

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