Abstract

The article first focused on the traditional momentum strategies, and the distance-to-default of the KMV (Kealhofer, McQuown and Vasicek) model was later applied as the proxy of credit risk. Then, based on the credit risk, two factors January effect and business cycle were added to investigate the momentum effect on them and credit risk. Empirical results indicated that investment portfolios had the momentum effects by traditional momentum strategies. After the credit risk was added, when the high-credit-risk group applied the momentum strategies in the mid- and long-term holding periods, significant excess return occurred. For low- and medium-credit-risk groups, the momentum profits only exist in 36–months holding periods. In addition, when credit risk was taken as the basis, and the January effect was included, the study found that positive momentum profits only took place in the low- and medium-credit-risk groups in 36-months holding period. Finally, when credit risk was taken as the basis, and busines...

Full Text

Published Version

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.