Momentum and Credit Rating
By Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov. 2007
405 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/9137d93b363943c8ed1b19b0f64e99dc9a510bdd
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Amit Goyal
- Doron Avramov
- Alexander Philipov
- Gergana Jostova
- Tarun Chordia
- John Y. Campbell
- Jens Hilscher
- J. Szilágyi
In Finance
- Amit Goyal
- Doron Avramov
- Tarun Chordia
- Alexander Philipov
- Gergana Jostova
- John Y. Campbell
- Jens Hilscher
- J. Szilágyi
Citations in the corpus
- Consumption Volatility Risk (2012, neutral): “The remaining regressions show various combinations of the benchmark factors with CVR.”
- The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, neutral): “Avramov et al. (2007) argue that momentum profits derive primarily”
- Empirical cross-sectional asset pricing: a survey (2011, background): “Cooper (1999) argues that these patterns are a result of overreaction while Avramov et al. (2006) show the role of illiquidity in explaining these reversals.”
- What Explains the Dynamics of 100 Anomalies (2015, neutral): “Avramov et al. (2009) or Dichev and Piotroski (2001) who show that the 12”
- Default Risk, Shareholder Advantage, and Stock Returns* (2008, neutral): “Furthermore, Avramov et al. (2007) link momentum returns to credit deterioration.”
- Predicting Financial Distress and the Performance of Distressed Stocks (2011, methodology): “This approach is related to an earlier literature pioneered by Beaver (1966) and Altman (1968) who introduced Z-score as a measure of bankruptcy risk, and has recently been used by Beaver et al.”
- Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, neutral): “Avramov et al. (2007) show that momentum profits are large and significant among firms with low-grade credit ratings but are nonexistent among firms with high-grade credit ratings.”
- Dispersion in analysts' earnings forecasts and credit rating (2009, background): “In the context of the momentum anomaly, Zhang (2006) associates momentum profitability with dispersion, while Avramov, Chordia, Jostova, and Philipov (2007) show that momentum profitability concentrates in high credit risk firms and, moreover, that the credit rating effect subsumes the dispersion ”