Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

• 成果类型: Article
• 署名作者: Etula, Erkko; Rinne, Kalle; Suominen, Matti; Vaittinen, Lauri
• 署名单位: Aalto University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz054
• 发表日期: 2020
• 页码: 75
• 关键词: TURN-OF-MONTH; stock returns; cross-section; explanation; DYNAMICS

摘要

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.