Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock

We thank John Friedman, Clemens Sialm, Andrei Shleifer, Chris Williams, Stefan Zeume, and participants at the University of Michigan Public Finance seminar, the 2015 National Tax Association meetings, the NBER Behavioral Finance Meeting, the US Treasury Office of Tax Analysis, and the University of North Carolina Annual Tax Symposium for helpful discussion and comments. We also thank John Guyton of the Research, Analysis, and Statistics Division of the Internal Revenue Service for help with using the IRS administrative data. The views expressed here are those of the authors alone, and do not necessarily reflect the views of the Internal Revenue Service or the National Bureau of Economic Research.