Predictable Price Pressure

Samuel M. Hartzmark and David H. Solomon

No 30688, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We demonstrate that predictable uninformed cash flows forecast market and individual 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. High stock expense firms have lower returns from selling pressure after blackout periods, by 117 b.p. in four days. We estimate market-level price multipliers of 1.5 to 2.3. These results suggest price pressure is a widespread result of flows, not an anomaly.

JEL-codes: G12 G14 G4 (search for similar items in EconPapers)
Date: 2022-11
New Economics Papers: this item is included in nep-fmk and nep-mst
Note: AP
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Citations: View citations in EconPapers (1)

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