Short-term reversals, returns to liquidity provision and the costs of immediacy*

Some mutual funds act as contrarian traders, earning returns in the stock market by providing liquidity, while others demand liquidity and suffer costs of immediacy. The funds’ has increased over time. On average, immediacy exceed their from 1.9% pa. High beta funds, large cap exposed to momentum 2.5% Other results are that average alpha becomes insignificant when accounted for cross-section, predict alphas.