Seasonal Patterns in Money Market Mutual Funds

Seasonal Patterns in Money Market Mutual Funds This study analyzes seasonal patterns in tax-exempt and taxable money market mutual fund yields. We document a significant increase in tax-exempt and taxable yields during the last three weeks of December, followed by a significant decrease in yields during the first three weeks of January. The yield changes are associated with a corresponding outflow of fund assets at the end of the year and inflow of assets in the beginning of the year. We also find that tax-exempt yields change systematically around the 15th of April, June and September, which are key individual income tax dates. These results are consistent with liquidity effects associated with year-end wages, dividends, and bonus payments and tax-effects. We also find that institution window dressing contributes to the year-end movements in taxable and tax-exempt fund yields. One implication is that municipalities planning to issue short-term notes and investors in these funds can time their actions to take advantage of these systematic yield changes. Review of Quantitative Finance and Accounting Springer Journals

Seasonal Patterns in Money Market Mutual Funds

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Kluwer Academic Publishers
Copyright © 2000 by Kluwer Academic Publishers
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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