Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

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A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
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Authors

Date

2020-01

Department

Department of Finance

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Mcode

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Language

en

Pages

37
75-111

Series

Review of Financial Studies, Volume 33, issue 1

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.

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Keywords

TURN-OF-MONTH, STOCK RETURNS, CROSS-SECTION, EXPLANATION, DYNAMICS

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DOI

10.1093/rfs/hhz054

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

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202002132216

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[article-cris] Kauppakorkeakoulu / BIZ