Who buys high and sells low: Trading against expected returns and wealth inequality
中文摘要
关于财富较多或较少的家庭是否会持续地逆预期收益而交易,理论上的回答并不明确。我利用一组独特的匹配数据——美国居民在住房市场的交易及其财富——研究交易时机选择,并量化其对投资组合收益与财富不平等的影响。我发现,较贫穷的家庭一贯在预期收益较低时(例如价格上涨之后)买入住房,而在预期收益较高时(例如价格下跌之后)卖出。估计得到的来自主动交易的预期投资组合收益离散度较大,在财富分布上的四分位距为每年65个基点。粗略估算表明,在四分位距范围内,这一收益离散度大约可以解释观测到的财富集中度中超出收入差异单独所能解释部分的五分之一。
Abstract
Theories are ambiguous about whether households of higher or lower wealth consistently trade against expected returns. I employ unique matched data on US household trades in the housing market and their wealth to study trade timings and quantify the implications for portfolio returns and wealth inequality. I find that poorer households consistently buy houses when expected returns are low (e.g., after price increases) and sell when expected returns are high (e.g., after price declines). The estimated dispersion in expected portfolio returns from active trades is large, with an interquartile range across the wealth distribution of 65 basis points per year. Back-of-envelope calculations suggest this return dispersion could account for roughly one-fifth of observed wealth concentration beyond what income differences alone explain, within the interquartile range.