Do the Wealthy Earn Higher Returns? Evidence from U.S. Survey Data

Abstract

Estimates of the return gradient across the wealth distribution differ by 36.5 points in U.S. survey data. I recompute it on common PSID and SCF data under 880,317 specifications that combine four return types with thirteen measurement choices. The return gradient ranges from −100.0 to +42.2 points. At the baseline, the median return gradient on the gross return on assets is only +2.8 points in the PSID and 0.0 in the SCF. The other three return types diverge from it because debt service and leverage fall with wealth.