Predictable Price Pressure

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Samuel Hartzmark

Topic: Predictable Price Pressure

Speaker: Samuel Hartzmark, University of Chicago

Abstract: We present evidence that stock returns, both at the market level and the individual stock level, can be predicted by the timing of uninformed inflows and outflows of cash that are known in advance. Aggregate dividend payments to investors predict higher value-weighted market returns on the day of payment and the day afterwards, by 13 b.p. for the top five days per year, and 5 b.p. for the top fifty days. This effect holds in the US and internationally. Effects are weaker in months when mutual funds pay out dividends to investors (and so are less likely to reinvest). Industries with greater past exposure to dividend price pressure significantly underperform those with less exposure, consistent with an eventual partial reversal. Predictable selling pressure leads to significantly lower returns after earnings announcements for firms with higher stock compensation. Back of the envelope calculations suggest price multipliers of each dollar invested in the aggregate market ranging from 1.5 to 2.3. These results suggest that predictable price pressure is a widespread result of money flows, rather than an anomaly.

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Moderator: Lorenzo Casavecchia, University of Technology Sydney

Date: Wednesday, 9th June 2021
Time: 9-10 am (Australian Eastern Standard Time)
Venue: This is on online Zoom webinar.

Seminar protocols:

  • The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
  • Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Harry Scheule

Enquiries: Duncan Ford

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