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 : Xavier Gabaix

13 juin 2019 - T104 - De 14h00 à 15h15


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Intervenant : Adriano Rampini

23 mai 2019 - T105 - De 14h00 à 15h15


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Intervenant : Luke Taylor

16 mai 2019 - T105 - De 14h00 à 15h15


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Intervenant : Jessica Jeffers

18 avril 2019 - T104 - De 14h00 à 15h15


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4 avril 2019 - T104 - De 14h00 à 15h15


Contacts  

Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

François DERRIEN

Finance (GREGHEC)

Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”  


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