We analyze how individual investors respond to inflation. We introduce a unique data set containing information on local inflation and security portfolios of more than 2,000 clients of a German bank between 1920 and 1924, covering the German hyperinflation. We find that individual investors buy fewer (sell more) stocks when facing higher local inflation. This effect is more pronounced for less sophisticated investors. Moreover, we document a positive relation between local inflation and forgone returns following stock sales. Our findings are consistent with individual investors suffering from money illusion. Alternative explanations, such as consumption needs, are unlikely to drive our results.

中文翻译：

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通货膨胀与个人投资者行为：来自德国恶性通货膨胀的证据

我们分析个人投资者如何应对通货膨胀。我们引入了一个独特的数据集，其中包含 1920 年至 1924 年间一家德国银行的 2,000 多名客户的当地通货膨胀和证券投资组合的信息，涵盖了德国的恶性通货膨胀。我们发现，当当地通货膨胀率较高时，个人投资者会减少（卖出）股票。对于不太成熟的投资者，这种影响更为明显。此外，我们记录了当地通货膨胀与股票销售后放弃的回报之间的正相关关系。我们的发现与遭受金钱幻觉的个人投资者一致。消费需求等其他解释不太可能推动我们的结果。