Momentum, Sovereign Credit Ratings and Global Equity Markets

Posted: 29 Jan 2015

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

Date Written: January 26, 2014


This article investigates the link between momentum-based trading strategies implemented in global equity markets and country-specific credit ratings. The findings indicate that only the momentum strategy based on intermediate past returns generate statistically significant profits. Notably, the winner portfolios exhibit a higher average credit rating than the other portfolio groups. Surprisingly, neither global asset pricing models nor a conducted world credit risk factor can explain these profits.

Keywords: asset pricing, global equity markets, international stock indices, credit rating, momentum

JEL Classification: G12, G14

Suggested Citation

Grobys, Klaus, Momentum, Sovereign Credit Ratings and Global Equity Markets (January 26, 2014). Applied Economics Letters, Vol. 21, No. 18, 2014, Available at SSRN:

Klaus Grobys (Contact Author)

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa

University of Jyväskyla ( email )


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