[link]Momentum and Credit Rating# Investment - 投资
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http://home.gwu.edu/%7Ealexbapt/Jostova.pdf
This paper establishes a strong link between momentum and firm credit rating.
Momentum profitability is statistically significant and economically large
among
low-grade firms, but it is nonexistent among high-grade firms. The momentum
payoffs documented in the literature are generated by low rated firms that
account
for less than four percent of the overall market capitalization of rated
firms. For
loser (winner) stocks in the low rating category, prof
This paper establishes a strong link between momentum and firm credit rating.
Momentum profitability is statistically significant and economically large
among
low-grade firms, but it is nonexistent among high-grade firms. The momentum
payoffs documented in the literature are generated by low rated firms that
account
for less than four percent of the overall market capitalization of rated
firms. For
loser (winner) stocks in the low rating category, prof