A study of applying credit default swap on momentum strategy: Evidence from Japanese stock market

• Main Authors: Tzu-Hao Liu, 劉子豪
• Other Authors: Ruei-Lin Lee
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/ng3rmm

碩士 === 朝陽科技大學 === 財務金融系 === 103 === This study examines information based on credit default swap (CDS) and momentum, rather than credit rating proposed by most studies. We compare and discuss momentum profits on Japanese firms with/without CDS. Our sample periods are from Jan. 2007 to Dec. 2014. We construct two momentum strategies as followed. First, we separate groups by using the high and low price of CDS into momentum strategies. Second, we separate groups by using volatility of the price of CDS into momentum strategies. We focus on the Japanese firm with CDS. Our findings show that there are significant momentum returns in holding portfolios for 3, 6, 9 and 12 months formed period by 3 months in group 1 in the second methods.