Momentum, sovereign credit ratings and global equity markets

Klaus Grobys

Applied Economics Letters, 2014, vol. 21, issue 18, 1288-1292

Abstract: This article investigates the link between momentum-based trading strategies implemented in global equity markets and country-specific credit ratings. The findings indicate that only the momentum strategy based on intermediate past returns generate statistically significant profits. Notably, the winner portfolios exhibit a higher average credit rating than the other portfolio groups. Surprisingly, neither global asset pricing models nor a conducted world credit risk factor can explain these profits.

Date: 2014
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DOI: 10.1080/13504851.2014.922662

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