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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.
