Sarwar, Sirajum Munira, Lin, Sharon Xiaowen and Muradoǧlu, Yaz Gülnur (2017) Impact of credit risk and business cycles on momentum returns. In, International Series in Operations Research and Management Science. (International Series in Operations Research and Management Science, , (doi:10.1007/978-3-319-61320-8_2), 257) Springer New York, pp. 17-39. (doi:10.1007/978-3-319-61320-8_2).
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.
Full text not available from this repository.
More information
Identifiers
Catalogue record
Export record
Altmetrics
Contributors
University divisions
- Faculties (pre 2018 reorg) > Faculty of Social, Human and Mathematical Sciences (pre 2018 reorg) > Social Sciences (pre 2018 reorg) > Social Statistics & Demography (pre 2018 reorg)
Current Faculties > Faculty of Social Sciences > School of Economic Social and Political Science > Social Sciences (pre 2018 reorg) > Social Statistics & Demography (pre 2018 reorg)
School of Economic Social and Political Science > Social Sciences (pre 2018 reorg) > Social Statistics & Demography (pre 2018 reorg) - Faculties (pre 2018 reorg) > Faculty of Health Sciences (pre 2018 reorg) > Centre for Innovation & Leadership (pre 2018 reorg) > Researcher Development (pre 2018 reorg)
Current Faculties > Faculty of Environmental and Life Sciences > School of Health Sciences > Faculty of Health Sciences (pre 2018 reorg) > Centre for Innovation & Leadership (pre 2018 reorg) > Researcher Development (pre 2018 reorg)
School of Health Sciences > Faculty of Health Sciences (pre 2018 reorg) > Centre for Innovation & Leadership (pre 2018 reorg) > Researcher Development (pre 2018 reorg)
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.