Dash for Cash

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Etula, Erkko
dc.contributor.author Rinne, Kalle
dc.contributor.author Suominen, Matti
dc.contributor.author Vaittinen, Lauri
dc.date.accessioned 2020-02-13T08:11:37Z
dc.date.available 2020-02-13T08:11:37Z
dc.date.issued 2020-01
dc.identifier.citation Etula , E , Rinne , K , Suominen , M & Vaittinen , L 2020 , ' Dash for Cash : Monthly Market Impact of Institutional Liquidity Needs ' , Review of Financial Studies , vol. 33 , no. 1 , pp. 75-111 . https://doi.org/10.1093/rfs/hhz054 en
dc.identifier.issn 0893-9454
dc.identifier.other PURE UUID: 675214fe-ee5b-4cf6-b1a3-6e72f6ebaac5
dc.identifier.other PURE ITEMURL: https://research.aalto.fi/en/publications/dash-for-cash(675214fe-ee5b-4cf6-b1a3-6e72f6ebaac5).html
dc.identifier.other PURE FILEURL: https://research.aalto.fi/files/40965155/hhz054.pdf
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/43147
dc.description.abstract We present broad-based evidence that the monthly payment cycle induces systematic patterns in liquid markets around the globe. First, we document temporary increases in the costs of debt and equity capital that coincide with key dates associated with month-end cash needs. Second, we present direct and indirect evidence on the role of institutions in the genesis of these patterns and derive estimates of the associated costs borne by market participants. Third, and finally, we investigate the limits to arbitrage that prevent markets from functioning efficiently. Our results indicate that many investors and their agents, including mutual funds, suffer from liquidity-related trading. en
dc.format.extent 37
dc.format.extent 75-111
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Oxford University Press
dc.relation.ispartofseries Review of Financial Studies en
dc.relation.ispartofseries Volume 33, issue 1 en
dc.rights openAccess en
dc.subject.other 512 Business and management en
dc.title Dash for Cash en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.contributor.department Goldman Sachs Group
dc.contributor.department Department of Finance
dc.contributor.department Mandatum Life
dc.contributor.department Department of Finance en
dc.subject.keyword TURN-OF-MONTH
dc.subject.keyword STOCK RETURNS
dc.subject.keyword CROSS-SECTION
dc.subject.keyword EXPLANATION
dc.subject.keyword DYNAMICS
dc.subject.keyword 512 Business and management
dc.identifier.urn URN:NBN:fi:aalto-202002132216
dc.identifier.doi 10.1093/rfs/hhz054
dc.type.version publishedVersion


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