This paper highlights the adverse consequences of sluggish credit rating updates in creating information efficiency distortions and investment anomalies. We first document significant credit default swap (CDS) return momentum yielding 7.1% per year. We further show that cross-market momentum strategies based on information in past CDS performance generates an alpha of 10.3% per year in stocks and 7.3% per year in bonds. These CDS momentum and cross-market effects are stronger among more liquid, informationally rich CDS contracts whose CDS spreads move in anticipation of important, yet slow-moving, credit rating changes. (JEL G12, G14) Received February 19, 2020; editorial decision July 10, 2020 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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CDS 势头：缓慢变化的信用评级和跨市场溢出效应

本文强调了信用评级更新缓慢在造成信息效率扭曲和投资异常方面的不利后果。我们首先记录了每年产生 7.1% 的显着信用违约掉期 (CDS) 回报势头。我们进一步表明，基于过去 CDS 表现信息的跨市场动量策略在股票和债券中产生每年 10.3% 的 alpha 和 7.3% 的 alpha。这些 CDS 动量和跨市场效应在流动性更强、信息丰富的 CDS 合约中更强，其 CDS 利差在预期重要但变化缓慢的信用评级变化时移动。(JEL G12, G14) 2020 年 2 月 19 日收到；编辑决定 2020 年 7 月 10 日，编辑 Jeffrey Pontiff。作者提供了互联网附录，