MOMENTUM AND CREDIT RATINGS
| Autor: | Hui-shan Huang, 黃慧珊 |
|---|---|
| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 This study wants to investigate if investors can use some messages or indicators following investment strategy to achieve profit goals. Jegadeesh and Titman (1993) document the momentum-based trading strategy of buying past winners and selling past losers provides statistically significant and economically abnormal return. The study wants to know whether Taiwan stock market is similar as Avramov et al. (2007) showed that 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. This study use credit risk indicators (TCRI) from Taiwan Economic Journal (TEJ) as a credit sources of information over the period from January 1995 to December 2008. We found there is no relationship between momentum and credit rating in Taiwan stock market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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