The quality premium with leverage and liquidity constraints

González Urteaga, Ana; Rubio Irigoyen, Gonzalo

Publication:
The quality premium with leverage and liquidity constraints

dc.contributor.author	González Urteaga, Ana
dc.contributor.author	Rubio Irigoyen, Gonzalo
dc.contributor.department	Enpresen Kudeaketa	eu
dc.contributor.department	Institute for Advanced Research in Business and Economics - INARBE	en
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.funder	Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa	es
dc.date.accessioned	2022-02-09T12:50:42Z
dc.date.available	2023-05-01T23:00:13Z
dc.date.issued	2021
dc.description.abstract	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.	en
dc.description.sponsorship	The authors acknowledge financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072B-I00. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valencia grant Prometeo/2017/158, and Ana González Urteaga acknowledges financial support from the Ministry of Science and Innovation through grant PID2019-104304-GB-I00/AEI/10.13039/501100011033 and UPNA Research Grant for Young Researchers, Edition 2018.	en
dc.embargo.lift	2023-05-01
dc.embargo.terms	2023-05-01
dc.format.extent	42 p.
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1016/j.irfa.2021.101699
dc.identifier.issn	1873-8079
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/42145
dc.language.iso	eng	en
dc.publisher	Elsevier
dc.relation.ispartof	International Review of Financial Analysis, 75 (2021) 101699
dc.relation.projectID	info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/	en
dc.relation.publisherversion	https://doi.org/10.1016/j.irfa.2021.101699
dc.rights	© 2021 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject	Margin requirements	en
dc.subject	Quality premium	en
dc.subject	Funding constraints	en
dc.subject	Liquidity constraints	en
dc.subject	Security market line	en
dc.title	The quality premium with leverage and liquidity constraints	en
dc.type	info:eu-repo/semantics/article	en
dc.type	Artículo / Artikulua	es
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dspace.entity.type	Publication
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relation.isAuthorOfPublication.latestForDiscovery	095d724d-61c5-408c-b091-6ea37e9beb6b