Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock
利用美国2008-2009年个人股票交易的税务数据，发现股市动荡后，收入前1%和0.1%的投资者、退休人员及高股息收入者卖出股票的比例远高于其他群体。
Abstract 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%.