Momentum and credit rating

Doron Avramov*, Tarun Chordia, Gergana Jostova, Alexander Philipov

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

188 Scopus citations

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.

Original languageAmerican English
Pages (from-to)2503-2520
Number of pages18
JournalJournal of Finance
Volume62
Issue number5
DOIs
StatePublished - Oct 2007
Externally publishedYes

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