The study of momentum and credit ratings in Taiwan stock market
| Autor: | Yu-tien Liu, 劉育典 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 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. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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