Working Paper: NBER ID: w22209
Authors: Jeffrey Hoopes; Patrick Langetieg; Stefan Nagel; Daniel Reck; Joel Slemrod; Bryan Stuart
Abstract: We examine individual stock sales from 2008 to 2009 using population tax return data. The share of sales by the top 0.1 percent of income recipients and other top income groups rose sharply following the Lehman Brothers bankruptcy and remained elevated throughout the financial crisis. Sales by top income and older age groups were relatively more responsive to increased stock market volatility. Volatility-driven sales were not concentrated in any one sector, but mutual fund sales responded more strongly to increased volatility than stock sales. Additional analysis suggests that gross sales in tax return data are informative about unobserved net sales.
Keywords: stock sales; financial crisis; market volatility; income distribution; investor behavior
JEL Codes: G01; G11; G12
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| income level (D31) | stock selling behavior (G41) |
| age (J14) | propensity to sell (D16) |
| psychological factors (D91) | selling behavior (younger and less wealthy investors) (G40) |
| VIX changes (F31) | stock sales (G10) |
| VIX changes (F31) | stock sales (older investors) (G12) |