Marketwide Price Pressure

45 Pages Posted: 9 Oct 2017 Last revised: 17 Nov 2017

See all articles by Vuk Talijan

Vuk Talijan

University of Southern California - Marshall School of Business

Date Written: November 15, 2017

Abstract

This paper provides evidence of the price-pressure hypothesis in the aggregate, daily stock-market return. Events that convey no new information about fundamentals, but entail large transfers of cash, predict the daily stock-market return. This predictability relates to the growth of passive investment strategies. Passive investment strategies are the conduit dispersing price pressure across securities. Three examinations – of dividend payouts, reversals after ETF fund flows, and merger effective dates – affirm the price-pressure hypothesis and show the daily stock-market return to be predictable.

JEL Classification: G12, G14

Suggested Citation

Talijan, Vuk, Marketwide Price Pressure (November 15, 2017). Available at SSRN: https://ssrn.com/abstract=3049682 or http://dx.doi.org/10.2139/ssrn.3049682

Vuk Talijan (Contact Author)

University of Southern California - Marshall School of Business ( email )

701 Exposition Blvd
Los Angeles, CA 90089
United States

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