Econ Papers Daily / 期刊论文
谁在高买低卖：逆预期收益交易与财富不平等
Who buys high and sells low: Trading against expected returns and wealth inequality
摘要
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.
中文摘要
关于家庭财富水平高低是否一贯地与预期收益反向交易，理论界尚无定论。我利用美国住房市场中家庭交易与其财富的独特匹配数据，研究交易时机，并量化其对投资组合收益及财富不平等的影响。研究发现，较贫困家庭在预期收益较低时（如房价上涨后）一贯购房，而在预期收益较高时（如房价下跌后）出售。主动交易导致的预期投资组合收益离散程度较大，财富分布的四分位距为每年65个基点。粗略估算表明，这一收益离散程度可能解释了在仅考虑收入差异之外，观察到的财富集中现象中约五分之一，且该效应位于四分位距范围内。