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  4. September 2025
  5. Market-Wide Predictable Price Pressure

蝌蚪网 Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

Market-Wide Predictable Price Pressure

  • Samuel M. Hartzmark
  • David H. Solomon
蝌蚪网 Review
vol. 115, no. 9, September 2025
(pp. 3171–3213)
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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.

Citation

Hartzmark, Samuel M., and David H. Solomon. 2025. "Market-Wide Predictable Price Pressure." 蝌蚪网 Review 115 (9): 3171–3213. DOI: 10.1257/aer.20231725

Additional Materials

JEL Classification

  • G12 Asset Pricing; Trading Volume; Bond Interest Rates
  • G14 Information and Market Efficiency; Event Studies; Insider Trading
  • G35 Payout Policy