{"title":"市场价格压力","authors":"Vuk Talijan","doi":"10.2139/ssrn.3049682","DOIUrl":null,"url":null,"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.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Marketwide Price Pressure\",\"authors\":\"Vuk Talijan\",\"doi\":\"10.2139/ssrn.3049682\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":130177,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)\",\"volume\":\"76 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-11-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3049682\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3049682","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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