Can Security Design Foster Household Risk-Taking?

• 成果类型: Article
• 署名作者: Calvet, Laurent E.; Celerier, Claire; Sodini, Paolo; Vallee, Boris
• 署名单位: Universite Catholique de Lille; EDHEC Business School; University of Toronto; Stockholm School of Economics; Harvard University; Universite Catholique de Lille; EDHEC Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13232
• 发表日期: 2023
• 页码: 1917-1966
• 关键词: Financial innovation; market participation; prospect-theory; probability; consumption; options; preferences; aversion

摘要

This paper shows that securities with nonlinear payoff designs can foster household risk-taking. We demonstrate this effect by exploiting the introduction of capital guarantee products in Sweden between 2002 and 2007. Their fast and broad adoption is associated with an increase in expected financial portfolio returns. The effect is especially strong for households with low-risk appetite ex ante. These empirical facts are consistent with a life-cycle model in which households have pessimistic beliefs or preferences combining loss aversion and narrow framing. Our results illustrate how security design can mitigate behavioral biases to increase mean household portfolio returns.