WHO SELLS DURING A CRASH? EVIDENCE FROM TAX RETURN DATA ON DAILY SALES OF STOCK

• 成果类型: Article
• 署名作者: Hoopes, Jeffrey L.; Langetieg, Patrick; Nagel, Stefan; Reck, Daniel; Slemrod, Joel; Stuart, Bryan A.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Chicago; University of London; London School Economics & Political Science; University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueab059
• 发表日期: 2022
• 页码: 299-325
• 关键词: portfolio choice; determinants; INVESTMENT; RISK

摘要

Using United States tax return data containing the universe of individual taxable stock sales from 2008 to 2009, we examine which individuals increased their sale of stocks following episodes of market tumult. We find that the increase was disproportionately concentrated among investors in the top 1% and top 0.1% of the overall income distribution, retired individuals and individuals at the very top of the dividend income distribution. Our estimates suggest that, following the day when Lehman Brothers collapsed, taxpayers in the top 0.1% sold $1.7 billion more in stocks than individuals in the bottom 75%. This difference is equal to 89% of average daily sales by taxpayers in the top 0.1%.