Séminaires de recherche

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

Finance

Intervenant : Suominen Matti
Aalto University

29 janvier 2015

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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

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



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