Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069412 | Finance Research Letters | 2015 | 9 Pages |
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
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jesper Haga,