Browse ORBilu by Open Access
- What it is and what it isn't
- Green Road / Gold Road?
- Ready to Publish. Now What?
- How can I support the OA movement?
- Where can I learn more?
ORBilu is a project developed by
Showing results 1 to 20 of 34
   How some bankers made a million by trading just two securities?Rinne, Kalle  ; Suominen, Matti in Journal of Empirical Finance (in press) We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for ... [more ▼] We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for transaction costs. The strategy also generates positive alpha when controlling for the standard risk factors. Second, using transaction level data from Finland, focusing on a popular pair, we provide evidence that these kinds of pair trading returns are compensation from providing liquidity. On the days when the expected returns to our pair trading strategy are the highest, the trading volume is abnormally high and, judging from active brokers’ net trades, nearly 45% of all brokers (or their customers) engage in pair trading in accordance with our trading strategy. These brokers are mainly counterparties to few brokers that trade large quantities of stocks inconsistent with our strategy. [less ▲] Detailed reference viewed: 231 (22 UL)The Search for Yield: Implications to Alternative InvestmentsLehnert, Thorsten ; Kräussl, Roman ; Rinne, Kalle in Journal of Empirical Finance (2017), 44(-), 227-236 Detailed reference viewed: 200 (12 UL)How Some Bankers Made a Million by Trading just Two Securities?Rinne, Kalle ; Scientific Conference (2016, June) Detailed reference viewed: 100 (0 UL)Open-market Stock Repurchases and the Provision of ImmediacyRinne, Kalle Scientific Conference (2016, May) Detailed reference viewed: 40 (2 UL)Open-market Stock Repurchases and the Provision of ImmediacyRinne, Kalle Presentation (2016, April) Detailed reference viewed: 23 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alPresentation (2016, March) Detailed reference viewed: 35 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alPresentation (2016, March) Detailed reference viewed: 37 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alScientific Conference (2016, March) Detailed reference viewed: 25 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alScientific Conference (2016, January) Detailed reference viewed: 22 (0 UL) Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock ReturnsRinne, Kalle ; ; E-print/Working paper (2015) This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar ... [more ▼] This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar reversals in market returns around T-3 are documented internationally. The return reversals are stronger in countries where the mutual fund ownership is large, and in the US they have become stronger over time as the mutual fund ownership of stocks has increased. Using data that contains all trades of a subset of institutional investors, we show direct evidence that institutional trading contributes to the market reversals. Finally, we find that in the cross-section of stocks, return reversals around the turn of the month are stronger for stocks more commonly held by mutual funds and for liquid stocks. These market reversals help explain the previously documented abnormally high market returns around the turn of the month. [less ▲] Detailed reference viewed: 159 (1 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alScientific Conference (2015) Detailed reference viewed: 21 (2 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alScientific Conference (2015) Detailed reference viewed: 32 (3 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alScientific Conference (2015) Detailed reference viewed: 43 (4 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns; Rinne, Kalle ; et alPresentation (2015) Detailed reference viewed: 21 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock ReturnsRinne, Kalle ; ; Conference given outside the academic context (2015) Detailed reference viewed: 25 (0 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock ReturnsRinne, Kalle ; ; Presentation (2015) Detailed reference viewed: 17 (2 UL)Mutual Funds' Returns from Providing Liquidity and Costs of ImmediacyRinne, Kalle ; Suominen, Matti Scientific Conference (2014, October) Detailed reference viewed: 34 (3 UL)Do Hedge Funds Supply or Demand Liquidity?; Rinne, Kalle ; Suominen, Matti in Review of Finance (2014), 18(4), 1259-1298 Regressing hedge funds’ returns on returns to a long–short contrarian trading strategy, a measure of the returns from providing liquidity, we find that hedge funds typically supply liquidity in the stock ... [more ▼] Regressing hedge funds’ returns on returns to a long–short contrarian trading strategy, a measure of the returns from providing liquidity, we find that hedge funds typically supply liquidity in the stock market. In the cross-section, strict redemption restrictions and large fund size increase funds’ propensity to supply liquidity. In time series, poor market liquidity and good funding conditions increase funds’ propensity to supply liquidity. Although the hedge funds typically supply liquidity, during crises they demand liquidity. We also find that increases in the amount of speculative capital improve market liquidity and reduce the amount of short-term return reversals and volatility. [less ▲] Detailed reference viewed: 162 (14 UL)Mutual funds' returns from providing liquidity and costs of immediacyRinne, Kalle ; Suominen, Matti Scientific Conference (2014, May) Detailed reference viewed: 20 (3 UL)Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock ReturnsRinne, Kalle ; ; Presentation (2014) Detailed reference viewed: 28 (0 UL)
1
2
|
||
