This paper attempts to find the relationship between momentum and firm¡¦s credit rating.
According to Avramov¡¦s (2007) finding, there is a strong link between momentum and firm
credit rating in US. In this paper, the similar phenomenon is proven existing in Taiwan stock
market. Momentum profitability is large among low-grade firms, but it is insignificant among
high-grade firms. The source of momentum profits is from operating performance, financial
performance, volatility and illiquidity. For loser (winner) stocks in the low rating category,
profit margins, sales growth, operating cash flows, and interest coverage decrease (increase)
over the formation and holding periods, while illiquidity and volatility increase (decrease). As
the market observes the deteriorating (improving) conditions, there is a pressure to sell (buy)
losers (winners), which enhances gains among high risk winners and losses among high risk
losers.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0713108-002108 |
| Date | 13 July 2008 |
| Creators | Liu, Yu-tien |
| Contributors | Kuo,Hsioujen, Shyu So-de, Ming-Chi Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0713108-002108 |
| Rights | not_available, Copyright information available at source archive |
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