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...

We present evidence that some mutual funds systematically act as contrarian traders, and earn returns in the stock market by providing liquidity to investors that demand immediacy, while others systematically realize costs of immediacy. On average, the mutual funds' costs of immediacy exceed...

We present evidence that some mutual funds systematically act as contrarian traders, and earn returns in the stock market by providing liquidity to investors, while others systematically demand liquidity and suffer costs of immediacy. On average, the mutual funds' costs of immediacy exceed their...

In this paper, 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...

We present a structural model of the stock market where a subset of the investors is infrequently present at the market. In our model the stocks' return reversal pattern is exponential and the amount of return reversal, the speed of return reversal and stock's transitory volatility are all...