Momentum and credit rating

Doron Avramov; Tarun Chordia; Gergana Jostova; Alexander Philipov

doi:10.1111/j.1540-6261.2007.01282.x

Momentum and credit rating

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

211 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 language	English
Pages (from-to)	2503-2520
Number of pages	18
Journal	Journal of Finance
Volume	62
Issue number	5
DOIs	https://doi.org/10.1111/j.1540-6261.2007.01282.x
State	Published - Oct 2007
Externally published	Yes

Access to Document

10.1111/j.1540-6261.2007.01282.x

Cite this

@article{173c7f50b98c448a929f89500a938438,

title = "Momentum and credit rating",

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.",

author = "Doron Avramov and Tarun Chordia and Gergana Jostova and Alexander Philipov",

year = "2007",

month = oct,

doi = "10.1111/j.1540-6261.2007.01282.x",

language = "אנגלית",

volume = "62",

pages = "2503--2520",

journal = "Journal of Finance",

issn = "0022-1082",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "5",

}

TY - JOUR

T1 - Momentum and credit rating

AU - Avramov, Doron

AU - Chordia, Tarun

AU - Jostova, Gergana

AU - Philipov, Alexander

PY - 2007/10

Y1 - 2007/10

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=34247621279&partnerID=8YFLogxK

U2 - 10.1111/j.1540-6261.2007.01282.x

DO - 10.1111/j.1540-6261.2007.01282.x

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:34247621279

SN - 0022-1082

VL - 62

SP - 2503

EP - 2520

JO - Journal of Finance

JF - Journal of Finance

IS - 5

ER -

Momentum and credit rating

Abstract

Access to Document

Other files and links

Fingerprint

Cite this