Inflation and Individual Investors' Behavior: Evidence from the German Hyperinflation

• 成果类型: Article
• 署名作者: Braggion, Fabio; von Meyerinck, Felix; Schaub, Nic
• 署名单位: Tilburg University; University of Zurich; WHU - Otto Beisheim School of Management
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad047
• 发表日期: 2023
• 页码: 5012
• 关键词: stock-market; returns; money; performance; exchange; demand; rates; long

摘要

We analyze how individual investors respond to inflation. We introduce a unique data set containing information on local inflation and security portfolios of more than 2,000 clients of a German bank between 1920 and 1924, covering the German hyperinflation. We find that individual investors buy fewer (sell more) stocks when facing higher local inflation. This effect is more pronounced for less sophisticated investors. Moreover, we document a positive relation between local inflation and forgone returns following stock sales. Our findings are consistent with individual investors suffering from money illusion. Alternative explanations, such as consumption needs, are unlikely to drive our results. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online