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Applied Economics Letters Volume 24, 2017 - Issue 6
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Original Articles

Momentum crash, credit risk and optionality effects in bear markets and crisis periods: evidence from the US stock market

Klaus GrobysDepartment of Accounting and Finance, University of Vaasa, Vaasa, FinlandCorrespondence[email protected] [email protected]
Pages 387-391 | Published online: 13 Jun 2016

References

  • Avramov, D., T. Chordia, G. Jostova, and A. Philipov. 2009. “Credit Ratings and The Cross-Section of Stock Returns.” Journal of Financial Markets 12: 469–499. doi:10.1016/j.finmar.2009.01.005.
  • Avramov, D., T. Chordia, G. Jostova, and A. Philipov. 2013. “Anomalies and Financial Distress.” Journal of Financial Economics 108: 139–159. doi:10.1016/j.jfineco.2012.10.005.
  • Avramov, D., T. Chorida, G. Jostova, and A. Philipov. 2007. “Momentum and Credit Rating.” Journal of Finance 62: 2503–2520. doi:10.1111/j.1540-6261.2007.01282.x.
  • Barberis, N., and M. Huang. 2008. “Stocks as Lotteries: The Implications of Probability Weighting for Security Prices.” American Economic Review 98: 2066–2100. doi:10.1257/aer.98.5.2066.
  • Campbell, J. Y., J. Hilscher, and J. Szilagyi. 2008. “In Search of Distress Risk.” The Journal of Finance 63: 2899–2939. doi:10.1111/j.1540-6261.2008.01416.x.
  • Daniel, K.-D., and T.-J. Moskowitz. 2013. Momentum Crashes. In: Columbia Business School Working Paper. New York.
  • Grobys, K., and J. Haga. 2016. The Market Price of Credit Risk and Economic States. Empirical Economics 50: 1111–1134. doi:10.1007/s00181-015-0952-9
  • Grobys, K., and J.-P. Heinonen. 2016. “Is There a Credit Risk Anomaly in FX Markets.” Finance Research Letters. forthcoming. doi:10.1016/j.frl.2016.03.011.
  • Newey, W. K., and K. D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703–708. doi:10.2307/1913610.

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