Avramov, Doron; Chordia, Tarun; Jostova, Gergana; … - In: Journal of Financial Economics 108 (2013) 1, pp. 139-159
derives most of its profitability from taking long positions in high credit risk firms that survive financial distress and …This paper explores commonalities across asset pricing anomalies. In particular, we assess implications of financial … distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum …