American Economic Review Vol. 115 No. 9 2025
Market-Wide Predictable Price Pressure
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.
- DOI
- 10.1257/aer.20231725
- Volume
- 115
- Issue
- 9
- Pages
- 3171-3213
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref