Intermediate-term momentum and credit rating

Jesper Haga

Finance Research Letters, 2015, vol. 15, issue C, 59-67

Abstract: This study examines the relationship between intermediate-term momentum and credit risk. Credit risk is approximated with Standard & Poor’s (S&P’s) credit ratings. With a sample of S&P credit rated firms, I show that intermediate-term momentum is profitable independent of firms’ credit rating. Further, I show that the difference found in U.S. between intermediate-term and short-term momentum is mainly driven by high-grade firms.

Keywords: Intermediate-term momentum; Credit risk; Credit rating (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G24 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:59-67

DOI: 10.1016/j.frl.2015.08.004

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