IDEAS home Printed from https://ideas.repec.org/h/spr/isochp/978-3-319-61320-8_2.html
   My bibliography  Save this book chapter

Impact of Credit Risk and Business Cycles on Momentum Returns

In: Handbook of Recent Advances in Commodity and Financial Modeling

Author

Listed:
  • Sirajum Munira Sarwar

    (Bentley University)

  • Sharon Xiaowen Lin

    (Faculty of Health Sciences, University of Southampton)

  • Yaz Gülnur Muradoǧlu

    (University of London)

Abstract

In this paper, we show that significant momentum returns generate from credit-rated stocks across business cycles. The generation of momentum earned from speculative-grade stocks is on average 1.27% per month and are more prevalent during contraction periods in which they earn 1.61% per month. We also find that investment-grade stocks earn on average momentum returns of 0.85% per month and 1.14% per month during contractions. Higher momentum returns are unexplained by macroeconomic variables during contractions such as the 2008 recession. Our findings conclude that momentum return is due to high uncertainty associated with the increased credit risk of stocks and across business cycles.

Suggested Citation

  • Sirajum Munira Sarwar & Sharon Xiaowen Lin & Yaz Gülnur Muradoǧlu, 2018. "Impact of Credit Risk and Business Cycles on Momentum Returns," International Series in Operations Research & Management Science, in: Giorgio Consigli & Silvana Stefani & Giovanni Zambruno (ed.), Handbook of Recent Advances in Commodity and Financial Modeling, chapter 0, pages 17-39, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-61320-8_2
    DOI: 10.1007/978-3-319-61320-8_2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:isochp:978-3-319-61320-8_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.