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Intermediate-term momentum and credit rating

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  • Haga, Jesper

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.

Suggested Citation

  • Haga, Jesper, 2015. "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, vol. 15(C), pages 59-67.
    • Handle: RePEc:eee:finlet:v:15:y:2015:i:c:p:59-67
    DOI: 10.1016/j.frl.2015.08.004
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    Cited by:

    1. Butt, Hilal Anwar & Virk, Nader Shahzad, 2017. "Momentum profits and time varying illiquidity effect," Finance Research Letters, Elsevier, vol. 20(C), pages 253-259.

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    More about this item

    Keywords

    Intermediate-term momentum; Credit risk; Credit rating;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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