金融科技、投资者成熟度和金融投资组合选择（英）

BISWorkingPapers No1091 FinTech,investorsophisticationandfinancialportfoliochoices byLeonardoGambacorta,RominaGambacortaandRoxanaMihet MonetaryandEconomicDepartment April2023 JELclassification:G1,G5,G4,D83,L8,O3. Keywords:inequality,inclusion,FinTech,innovation,MatthewEffect. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) FinTech,investorsophisticationandfinancialportfoliochoices LeonardoGambacorta∗,RominaGambacorta†andRoxanaMihet‡§ Abstract Thispaperanalysesthelinksbetweenadvancesinfinancialtechnology,in-vestors’sophistication,andthecompositionandreturnsoftheirfinancialportfo-lios.Wedevelopasimpleportfoliochoicemodelunderasymmetricinformationandderivesometheoreticalpredictions.UsingdetailedmicrodatafromBancad’Italia,wetestthesepredictionsforItalianhouseholdsovertheperiod2004- 20.Ingeneral,heterogeneityinportfoliocompositionandinreturnsbetweensophisticatedandunsophisticatedinvestorsgrowswithimprovementsinfinancialtechnology.Thisheterogeneityisreducedonlyiffinancialtechnologyisaccessibletoeveryoneandifinvestorshaveasimilarcapacitytouseit. Keywords:Inequality;Inclusion;FinTech;Innovation;MatthewEffect. JEL-Codes:G1,G5,G4,D83,L8,O3 ∗BankforInternationalSettlementsandCEPR.Contact:leonardo.gambacorta@bis.org †Bancad’Italia.Contact:romina.gambacorta@bancaditalia.it ‡SwissFinanceInstituteatHECLausanneandCEPR.Contact:roxana.mihet@unil.ch §WethankRobertMarquezandAnthonyZhang,forextremelyconstructiveandhelpfulfeedback.WealsothankparticipantsattheRCFSWinterConference,andAndreasFuster,TarunRamadorai,VatsalaShreetiandLauraVeldkampfortheirusefulcomments.WearealsoindebtedtoGinetteEramo,MarcoLangiulliandPaolaRossiforhelpingustobetterunderstandandusethedataofBancad’ItaliaRegionalLendingSurveyandSupervisoryReportsofItalianbanks.TheviewsinthispaperarethoseoftheauthorsonlyanddonotnecessarilyreflectthoseofBancad’ItaliaortheBankforInternationalSettlements. 1Introduction Financialtechnology(FinTech)allowsformoreefficientuseofdatatosolveproblemsofasymmetricinformation.Theapplicationofartificialintelligencetechniquesinfinance(i.e.machinelearningandbigdata)canincreasefinancialinclusion,whilereducingthecostsoffinancialservicesatthesametime.Recentresearchindicatessubstantialbenefitsoffinancialtechnologyinalleviatingdiscriminationinmortgagemarkets(Bartlettetal.(2022)),infacilitatingthecalculationofcreditscoringforopaqueborrowers(Bergetal.(2020)),inreducingminimuminvestmentrequirementsandcapitalcharges(Abrahametal.(2019)),andinallowingusersaccesstoanexpandingarrayofinformationusefulforinvestmentdecisionsremotelyandeffortlessly(Katonaetal.(2018)). However,financialtechnologycanalsoincreasediscriminationamonginvestorsgroups,especiallyiftheyhaveadifferentaccessto(oruseof)thenewtechnology.Forexample,FinTechcancreateopportunitiesforsophisticatedmarketplayerstoacquirebetterdataandformulateprofitabletradingstrategiesattheexpenseoflesssophisticatedones.Earlyarticu-lationsofthisargumentwereproposedinBecker(1967)andArrow(1987).Becker(1967)sug-geststhathouseholdswhocansecuresystematicallyhigherfinancialreturnsbecomewealthier,andArrow(1987)proposesthatindividualswithlowercostsofinformationacquisitionbuymoreinformationandthereforegethigherratesofreturn.Subsequentvariationsofthesearguments,withwealtheffectsandfixedstockmarketparticipationcosts(Peress(2004)),poolingthroughmutualfundsinordertosharethecostofdataacquisition(Mihet(2018)),orheterogeneityindataprocessingabilities(Kacperczyketal.(2018),Azarmsa(2019))haveallreachedthesametheoreticalconclusion:generalprogressinfinancialinformationtech-nologiesbenefitssophisticatedinvestorstothedetrimentoflesssophisticatedones.Thisisatoddswiththegeneraloptimisminthefinancialindustry.Thus,whetheradvancesinfinancialtechnologyaredemocratizingfinanceandleveling-outtheplayingfieldisunclear. Tocontributetothisdebate,inthispaperweanalysethelinksbetweenadvancesinfinancialtechnology,investors’sophisticationlevelsandfinancialportfolios’compositionandreturnsusingstandardportfoliotheorywhichwetestwithnovelmicro-leveldata.Inparticu-lar,weuseaworkhorseportfoliochoicemodelwithasymmetricinformation,whereinvestorsdifferintheirsophisticationlevelsasmeasuredbytheircapacitytoprocessinformation,andchoosewhichassetstolearnaboutandinvestin.Weusethemodeltoderiveseveraltestablepredictionsontheimpactofabsoluteandrelativeincreasesinsophisticationoninvestors’sharesofriskyassetclassesandex-postreturns.Wethentestthesepredictionsusingauniquemicro-leveldatasetmerginginformationonItalianhouseholds’andbanks’character-istics.DataonhouseholdsaregatheredfromBancad’Ita