# **Table 1: Summary Statistics of Stock and Investor Characteristics in the US**

Table 1 reports descriptive statistics for stock and investor characteristics in the US, where only stocks that have observed individual investor transactions in the data set are considered. Summary statistics are calculated by pooling annual observations over the 1991-1996 time period. We report the mean, standard deviations (Std.Dev), as well as median, the 25<sup>th</sup> (P25) and 75<sup>th</sup> (P75) percentile values for all variables used in the study. All liquidity measures are annual averages as defined in the text. Price is the annual average of daily closing prices. Mkt Cap is the average market capitalization in millions of US dollars. B/M is the book-to-market ratio. Past Returns (-12, -2) is a proxy for momentum and measures cumulative returns during the past 10 month starting at month -12 and ending two months prior. AdjIlliq is the adjusted Amihud illiquidity ratio. Roll’s C is the Bayesian estimate of Roll’s (1984) transactions cost measure. Zerofreq is zeroreturn frequency which reports the percentage of zero-return days. Age in 1996 is the biological age of the investor in 1996. Married is a dummy variable that equals one for married traders. Gender is a dummy variable that equals one if head of the household is a female. Professional occupation is a dummy variable and is equal to one for traders that hold either technical or managerial positions. Retired is a dummy variable that is equal to one for traders who already retired. Retired Account is a dummy variable that equals one if the transaction takes place in a retirement account such as a 401(k). Portfolio concentration is defined as in Ivkovic, Sialm and Weisbenner (2008) and is calculated as the sum of squared value weights of each stock in a household’s portfolio. Equity Portfolio Value reports the total dollar value of a household’s equity portfolio. Income is annual self-reported income in thousands of dollars. Trades Option is a dummy variable that equals one if a trader has traded options at least once over the entire sample period. Trades Foreign Securities is a dummy variable that equals one if a trader has traded non-US securities at least once over the entire sample period. Short Position is a dummy variable that equals one if an investor has shorted any security at least once over the entire sample period.

||Mean|P25|Median|P75|Std. Dev|
|---|---|---|---|---|---|
|||StockChar<br>|acteristics<br>|||
|Price ($)|22.56|7.25|15.75|28.25|139.95|
|Mkt Cap ($mil)|1,804.96|70.83|241.32|1058.16|6000|
|B/M|0.69|0.20|0.41|0.77|1.40|
|Past Returns (-12, -2)|0.34|-0.12|0.16|0.52|0.92|
|AdjIlliq|3.30|0.28|0.46|2.04|6.570|
|Roll's C|1.73|0.45|1.06|2.26|2.05|
|Zerofreq|4.82%|0.00%|2.70%|8.33%|7.85%|
||I<br>|nvestor Ch<br>|aracteristics<br>|<br>||
|Age in 1996|49.58|40|48|58|12.40|
|Married (1=married)|0.76|1|1|1|0.43|
|Gender (1=female)|0.10|0|0|0|0.30|
|Professional occupation|0.66|0|1|1|0.47|
|Retired|0.15|0|0|0|0.36|
|Retired Account|0.39|0|0|1|0.49|
|Portfolio Concentration|0.52|0.28|0.48|0.73|0.28|
|Equity Portfolio Value, USD|80,342|8,900|22,952|62,087|313,568|
|Income, USD|76,840|45,000|87,500|112,500|33,190|
|Trades Option|0.14|0|0|0|0.34|
|Trades Foreign Securities|0.22|0|0|0|0.42|
|ShortPosition|0.38|0|0|1|0.49|

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