Are credit ratings effective on a momentum investment strategy? An empirical study

  • Andrea Benvenuti (Student)

Student thesis: Master's Thesis


This 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.
Date of Award26 Jan 2023
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorMário Meira (Supervisor)


  • Corporate credit ratings
  • Momentum
  • Portfolio strategy
  • Equity price


  • Mestrado em Finanças

Cite this