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Quality portfolios and funding liquidity crises
Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad ( IF 0.9 ) Pub Date : 2019-09-16 , DOI: 10.1080/02102412.2019.1646569 Gonzalo Rubio 1
Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad ( IF 0.9 ) Pub Date : 2019-09-16 , DOI: 10.1080/02102412.2019.1646569 Gonzalo Rubio 1
Affiliation
ABSTRACT This paper shows that the quality minus junk (QMJ) factor and quality-sorted portfolios contain information about funding liquidity crisis. There is a strong and positive relation between the behavior of the QMJ factor and the intensity of funding liquidity crises. This is the case even if we control for the profitability factor, the St. Louis Fed Financial Stress Index, and the market portfolio return. However, we do not find a similar significant relation with respect to market-wide illiquidity. Moreover, the quality-based volatility bound is a strong predictor of the probability of future funding liquidity recessions.
中文翻译:
优质投资组合和资金流动性危机
摘要本文显示质量减去垃圾(QMJ)因子和质量分类的投资组合包含有关资金流动性危机的信息。QMJ因素的行为与资金流动性危机的强度之间存在密切而积极的关系。即使我们控制了获利系数,圣路易斯联储金融压力指数和市场投资组合收益,情况也是如此。但是,我们发现整个市场的非流动性没有类似的重要关系。此外,基于质量的波动范围是未来资金流动性衰退可能性的有力预测指标。
更新日期:2019-09-16
中文翻译:
优质投资组合和资金流动性危机
摘要本文显示质量减去垃圾(QMJ)因子和质量分类的投资组合包含有关资金流动性危机的信息。QMJ因素的行为与资金流动性危机的强度之间存在密切而积极的关系。即使我们控制了获利系数,圣路易斯联储金融压力指数和市场投资组合收益,情况也是如此。但是,我们发现整个市场的非流动性没有类似的重要关系。此外,基于质量的波动范围是未来资金流动性衰退可能性的有力预测指标。