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来源类型Working Paper
规范类型报告
DOI10.3386/w25542
来源IDWorking Paper 25542
Fully Closed: Individual Responses to Realized Gains and Losses
Steffen Meyer; Michaela Pagel
发表日期2019-02-11
出版年2019
语种英语
摘要We use transaction-level data of portfolio trades and holdings linked to checking, savings, and settlement account transactions and balances to explore how individuals respond to realized capital gains and losses. We exploit plausibly exogenous sales due to mutual fund liquidations for identification. Specifically, we estimate the marginal propensity to reinvest out of one dollar received from a forced liquidation, when the investor either achieved a gain or a loss relative to his or her initial investment. Theoretically, if individuals held optimized portfolios, the marginal propensity to reinvest out of forced sales should be 100%. Individuals should just reinvest all of their liquidity immediately into a fund with similar characteristics. Empirically, individuals reinvest 83% on average if the forced sale resulted in a gain, but only 40% in the event of a loss. If individuals do not reinvest, they keep a share of their newly found liquidity in cash, save it, or consume it. Such differential treatment of gains and losses is inconsistent with active rebalancing or tax considerations, but consistent with mental accounting and the idea that individuals treat realized losses differently than paper losses. We thus provide evidence for realization utility and effects (Barberis and Xiong, 2012; Imas, 2016) and that individuals do not appear to learn rationally from experiences in the stock market (Malmendier and Nagel, 2011; Koudijs and Voth, 2016).
主题Microeconomics ; Households and Firms ; Behavioral Economics ; Financial Economics ; Behavioral Finance
URLhttps://www.nber.org/papers/w25542
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/583215
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Steffen Meyer,Michaela Pagel. Fully Closed: Individual Responses to Realized Gains and Losses. 2019.
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