Tuesday 31st May 2022, BRUSSELS – The Federation of European Securities Exchanges (FESE) is delighted to announce the winners of the FESE De la Vega Prize 2022: Samuel M. Hartzmark, Associate Professor of Finance at the University of Chicago Booth School of Business, and David H. Solomon, Associate Professor of Finance at the Boston College Carroll School of Management, were awarded this year’s Prize for their paper “Predictable Price Pressure”.
The authors rigorously identify the importance of predictable price pressures as an economically significant and market-wide phenomenon, thus providing new insights into price formation in financial markets.
The paper finds that, contrary to the assumptions of most asset pricing models, prices are impacted by non-fundamental demand moves in the form of predictable uninformed cash flows. Specifically, buying pressure from dividend payments (announced weeks prior) predicts higher value-weighted market returns, with market-level price multipliers of 1.5 to 2.3 and no short-term reversal. This effect holds internationally, varies with reinvestment intensity, and increases with high VIX (Volatility Index).
These results suggest price pressure is a widespread result of flows, rather than an anomaly, and could be a potential explanation for many phenomena that remain puzzles according to standard finance theory.
The Prize was formally awarded by Rainer Riess, FESE Director General, on Tuesday 31st May 2022 at the FESE Convention.
Further information on the Prize is available here; alternatively, please contact:
FESE Communications Officer
(t) +32 2 551 01 87
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