co-écrit avec Brice Corgnet and Camille Cornand

Résumé: 

Since Barro (2006), the macro-finance literature has shown that accounting for rare macroeconomic disasters helps explain various long-lasting empirical puzzles in financial asset markets through the critical role of disaster risk perceptions. However, individual macroeconomic disaster risk perceptions and their consequences for financial investment have never been directly measured at the microeconomic level.

To fill this gap and investigate whether communication on macroeconomic disaster risk can affect individual perceptions and financial investment decisions, we ran an online experiment on 345 French finance and macroeconomics professionals. We randomly assigned participants to three distinct informational treatments about the past frequency of macroeconomic disasters in a given historical sample (low-precision treatment, high-precision treatment, and salient treatment). We asked participants to estimate this frequency prior and posterior to the treatment and to allocate a sum of money between a risk-free asset and a risky asset whose returns depend on the possibility of a macroeconomic disaster.

We find that, on average, participants significantly overestimate the past frequency of macroeconomic disasters before information provision. At the intensive margin, participants decrease their frequency estimate and uncertainty and increase investment in the risky asset following the treatments. At the extensive margin, the high-precision treatment increases the probability of updating the prior relative to the two other treatments. We also investigate the role of individual variables such as gender, financial literacy score, confidence in prior estimate, and sector of activity.