Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10637/13933
Título : The quality premium with leverage and liquidity constraints
Autor : González Urteaga, Ana.
Rubio Irigoyen, Gonzalo.
Materias: Investments.Stock exchanges.Bolsa.Inversiones.
Fecha de publicación : 30-may-2021
Editorial : Elsevier
Citación : González-Urteaga, A. & Rubio, G. (2021). The quality premium with leverage and liquidity constraints. International Review of Financial Analysis, vol. 75 (may.), art. 101699. DOI: https://doi.org/10.1016/j.irfa.2021.101699
Resumen : This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance of the quality minus junk factor, our paper analyzes a leverage constraint explanation within a rational risk-based framework. The quality factor is multidimensional in nature, which suggests that a combination of risk, frictions, and behavioral biases is a reasonable explanation. Once we incorporate margin requirements and liquidity restrictions, we find that tighter conditions result in a higher intercept and a lower slope for the empirically implemented capital asset pricing model when using 10 quality-sorted portfolios. Our paper shows that, indeed, not only behavioral biases explain quality, but also market frictions account for its performance.
Descripción : Este artículo se encuentra disponible en la siguiente URL: https://www.sciencedirect.com/science/article/abs/pii/S1057521921000429
Este es el preprint del siguiente artículo: González-Urteaga, A. & Rubio, G. (2021). The quality premium with leverage and liquidity constraints. International Review of Financial Analysis, vol. 75 (may.), art. 101699, que se ha publicado de forma definitiva en https://doi.org/10.1016/j.irfa.2021.101699
This is the pre-peer reviewed version of the following article: González-Urteaga, A. & Rubio, G. (2021). The quality premium with leverage and liquidity constraints. International Review of Financial Analysis, vol. 75 (may.), art. 101699, which has been published in final form at https://doi.org/10.1016/j.irfa.2021.101699
Idioma: en
es
URI : http://hdl.handle.net/10637/13933
Derechos: http://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
ISSN : 1057-5219
1873-8079 (Electrónico)
Aparece en las colecciones: Dpto. Economía y Empresa

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