Past work suggests that momentum is among the most robust market anomalies, as well as momentum profitability concentrates in firms with high information uncertainty and high credit risk. This paper shows that such momentum concentrations naturally emerge in an equilibrium setting with...

Low credit risk firms realize higher returns than high credit risk firms. This effect is puzzling because investors seem to pay a premium for bearing credit risk. This paper shows that the credit risk effect manifests itself due to the poor performance of low-rated stocks during periods of...