References of "Vaittinen, Lauri"
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Peer Reviewed
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Scientific Conference (2016, March)

Detailed reference viewed: 17 (0 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Presentation (2016, March)

Detailed reference viewed: 19 (0 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Presentation (2016, March)

Detailed reference viewed: 24 (0 UL)
Peer Reviewed
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Scientific Conference (2016, January)

Detailed reference viewed: 12 (0 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Rinne, Kalle UL; Suominen, Matti; Vaittinen, Lauri

Conference given outside the academic context (2015)

Detailed reference viewed: 16 (0 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Rinne, Kalle UL; Suominen, Matti; Vaittinen, Lauri

Presentation (2015)

Detailed reference viewed: 12 (2 UL)
Full Text
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Rinne, Kalle UL; Suominen, Matti; Vaittinen, Lauri

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: 111 (1 UL)
Peer Reviewed
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Scientific Conference (2015)

Detailed reference viewed: 21 (3 UL)
Peer Reviewed
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Scientific Conference (2015)

Detailed reference viewed: 34 (4 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Presentation (2015)

Detailed reference viewed: 13 (0 UL)
Peer Reviewed
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Etula, Erkko; Rinne, Kalle UL; Suominen, Matti et al

Scientific Conference (2015)

Detailed reference viewed: 14 (2 UL)
See detailDash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Rinne, Kalle UL; Suominen, Matti; Vaittinen, Lauri

Presentation (2014)

Detailed reference viewed: 20 (0 UL)