Momentum and Credit Rating
发现动量策略的盈利主要来自低信用评级公司，高评级公司则无动量效应，且该差异无法用公司规模、年龄等解释。
ABSTRACT 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.