Research seminars

Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns

Finance

Speaker: Suominen Matti
Aalto University

29 January 2015

Download

This paper uncovers strong return reversals in stock market returns around the last
monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions.
We show that these return reversals are stronger in countries where the mutual fund
ownership is large, and that in the US the return reversals have become stronger over time as the mutual fund ownership of stocks has increased. Finally, in the cross-section of stocks, the reversals around turn of the month are stronger for stocks more commonly held by mutual funds, for liquid stocks, and for more volatile stocks (controlling for liquidity).

Finance

Speaker: Xavier Gabaix

13 June 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Adriano Rampini

23 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Luke Taylor

16 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Jessica Jeffers

18 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Emil Verner

4 April 2019 - T104 - From 2:00 pm to 3:15 pm



JavaScriptSettings