Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257992 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 37 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
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-payments of debts by firms as a measure of credit risk. For that purpose, we use distance to default (DD) by Kealhofer, McQuown, and Vasicek (KMV) model as a proxy of credit risk. We calculate the credit risk and form the momentum and contrarian strategies of the firms based on high, medium, and low risk. We find that in all three markets, the momentum and contrarian returns are significant for medium and high credit risk portfolios and no momentum and contrarian returns for low credit risk portfolios.
Subjects: 
contrarian returns
credit risk
KMV model
momentum returns
stock market
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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