Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets

Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets

We examine the profitability of the momentum and contrarian strategies in three South Asian markets, i.e., Bangladesh, India, and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to 2014. We use default risk that relates to non-paym...

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Bibliographic Details
Main Authors: Ahmed Imran Hunjra, Tahar Tayachi, Rashid Mehmood, Sidra Malik, Zoya Malik
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Risks
Subjects:
momentum returns
contrarian returns
credit risk
stock market
KMV model
Online Access:https://www.mdpi.com/2227-9091/8/2/37

Internet

https://www.mdpi.com/2227-9091/8/2/37

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