Intermediate-term momentum and credit rating

被引：1
|
作者：
Haga, Jesper [1 ]
机构：
[1] Hanken Sch Econ, Vaasa 65100, Finland
来源：
FINANCE RESEARCH LETTERS | 2015年 / 15卷
关键词：
Intermediate-term momentum; Credit risk; Credit rating; CROSS-SECTION; RISK; RETURNS; MARKET;
D O I：
10.1016/j.frl.2015.08.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：59 / 67
页数：9
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