Percorrer por autor "Benvenuti, Andrea"
A mostrar 1 - 1 de 1
Resultados por página
Opções de ordenação
- Are credit ratings effective on a momentum investment strategy? An empirical studyPublication . Benvenuti, Andrea; Meira, Mário Henrique MachadoThis dissertation investigates the existence of momentum effect for stocks differentiated by their credit rating, provided by S&P in a sample of 23790 listed companies from the US Market between 1987 and 2017. I analyse two types of credit rating categories, Investment grade and Speculative grade. The average credit ratings form an inverted U-shape across the various momentum portfolios, suggesting that a momentum strategy of buying previous winners and selling previous losers essentially takes long and short positions in firms with the lowest credit risk respectively.