Market-Wide Predictable Price Pressure
研究发现，提前数周宣布的股息支付等可预测的无信息现金流，能预测整个市场的股票回报，支付日回报显著更高，且在国际市场普遍存在，表明价格压力是资金流动的普遍结果而非异常现象。
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.