Market-Wide Predictable Price Pressure

• 成果类型: Article
• 署名作者: Hartzmark, Samuel M.; Solomon, David H.
• 署名单位: Boston College
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20231725
• 发表日期: 2025
• 页码: 3171-3213
• 关键词: STOCK RETURNS; cross-section; demand curves; arbitrage; earnings; equilibrium; INFORMATION; seasonality; purchases; Sunshine

摘要

We demonstrate that predictable uninformed cash flows forecast aggregate market stock returns. Buying pressure from dividend payments (announced weeks prior) predicts higher value-weighted market returns, with returns for the top quintile of payment days four times higher than the lowest. This holds internationally and increases when reinvestment is high and market liquidity is low. We estimate a market-level price multiplier of 1.9. These results suggest price pressure is a widespread result of flows, not an anomaly. G12, G14,