creator Zhang, Yi 2022 Spring 2022 Dissertation Illinois Institute of Technology SSB / Stuart School of Business advisor Wang, Haizhi Finance Assets Pricing Default Risk Factor Model Momentum Risk exposure Stock returns en Birge and Zhang (2018) reported that combining common factors models with functions of the default risk improves models' performance to explain stock returns. Default risk contains firm specific information and may help to explain momentum premium that compensates investors for the firm specific risk exposures. In this paper, we confirmed that the forward-looking measure of default risk, as proposed by Birge and Zhang (2018), seems to capture some pricing information in the momentum premium. This provides an alternative to explain the underlying risks associated with the momentum strategy. born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access http://hdl.handle.net/10560/islandora:1024981