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- W1959347542 abstract "We present broad-based evidence that the monthly cash needs of institutions induce systematic patterns in global stock returns. First, we document strong reversals in stock index returns around the last monthly trading day that guarantees cash settlement before month end. Second, we present direct evidence that links these reversals to institutional trading activity and funding conditions. Third, we find that the reversals are stronger for larger and more liquid stocks, and those more commonly held by mutual funds, a popular implementation vehicle among institutions. Finally, we show that mutual funds’ sensitivity to month-end reversals predicts their performance." @default.
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- W1959347542 date "2014-01-01" @default.
- W1959347542 modified "2023-09-23" @default.
- W1959347542 title "Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns" @default.
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- W1959347542 doi "https://doi.org/10.2139/ssrn.2528692" @default.
- W1959347542 hasPublicationYear "2014" @default.
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