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Graziani, 2025 - Google Patents

Time Series Reversal: A Payment Cycle Friction

Graziani, 2025

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Document ID
4842337835609228387
Author
Graziani G
Publication year
Publication venue
Essays on Liquidity & Market Rules

External Links

Snippet

This paper shows that the aggregate US equity market reverts in one month the noninformational price pressure induced by the end-of-month payment cycle. The pattern survives transaction costs and out-of-sample tests as it is strongest among liquid and …
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Classifications

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