Momentum and Credit Rating

Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov

Journal of Finance, 2007, vol. 62, issue 5, 2503-2520

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.

Date: 2007
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https://doi.org/10.1111/j.1540-6261.2007.01282.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:62:y:2007:i:5:p:2503-2520

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