Market-Wide Predictable Price Pressure

Samuel M. Hartzmark and David H. Solomon

American Economic Review, 2025, vol. 115, issue 9, 3171-3213

Abstract: 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.

JEL-codes: G12 G14 G35 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1257/aer.20231725

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