Presenter: Mads Markvart Kjær, AU

Title: End-of-month stock sale

Abstract: We document a striking calendar pattern in short-horizon return dynamics. The last trading day of the month stands out: the associated reversal is more than twice as strong as on other days over a 21-trading-day horizon. The effect is highly significant, robust to timing assumptions, and not explained by standard factors. The evidence points to institutional rebalancing and shifts demand for liquidity around month-end, which subsequently reverses.

Organizers: Stefan Hirth and Anders Merrild Posselt