Momentum and Credit Rating

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...

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Veröffentlicht in:	The Journal of finance (New York) 2007-10, Vol.62 (5), p.2503-2520
Hauptverfasser:	AVRAMOV, DORON, CHORDIA, TARUN, JOSTOVA, GERGANA, PHILIPOV, ALEXANDER
Format:	Artikel
Sprache:	eng
Schlagworte:	Access to credit Analytical forecasting Cash flow Corporate debt Corporate finance Credit market Credit rating Credit ratings Credit risk Financial portfolios Financial research Market capitalization Pay-off Price momentum Profit forecasting Profitability Stock exchanges Studies Volatility Weighted averages
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Beschreibung
Zusammenfassung:	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.
ISSN:	0022-1082 1540-6261
DOI:	10.1111/j.1540-6261.2007.01282.x