Can Risk Be Shared across Investor Cohorts? Evidence from a Popular Savings Product

• 成果类型: Article
• 署名作者: Hombert, Johan; Lyonnet, Victor
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac054
• 发表日期: 2022
• 页码: 5387
• 关键词: markets

摘要

We study how retail savings products can share market risk across investor cohorts, thereby completing financial markets. Financial intermediaries smooth returns by varying reserves, which are passed on between successive investor cohorts, thereby redistributing wealth across cohorts. Using data on euro contracts sold by life insurers in France, we estimate this redistribution to be large: 0.8% of GDP. We develop and provide evidence for a model in which low investor sophistication, while leading to individually suboptimal decisions, improves risk sharing by allowing intercohort risk sharing. (JEL G22, G52)