Abstract
AbstractEmpirical studies of ambiguity aversion mostly use artificial events such as Ellsberg urns to control for unknown probability beliefs. The present study measures ambiguity attitudes using real-world events in a large sample of investors. We elicit ambiguity aversion and perceived ambiguity for a familiar company stock, a local stock index, a foreign stock index, and Bitcoin. Measurement reliability is higher than for artificial sources in previous studies. Ambiguity aversion is highly correlated for different assets, while perceived ambiguity varies more between assets. Further, we show that ambiguity attitudes are related to actual investment choices.
Funder
Network for Studies on Pensions, Aging and Retirement
Wharton School, University of Pennsylvania
Labex
Publisher
Springer Science and Business Media LLC
Reference60 articles.
1. Abdellaoui, M., Baillon, A., Placido, L., & Wakker, P. P. (2011). The rich domain of uncertainty: Source functions and their experimental implementation. American Economic Review, 101(2), 695–723.
2. Baillon, A., & Bleichrodt, H. (2015). Testing ambiguity models through the measurement of probabilities for gains and losses. American Economic Journal: Microeconomics, 7(2), 77–100.
3. Baillon, A., Bleichrodt, H., Keskin, U., & I’HaridonLi, O. C. (2018a). The effect of learning on ambiguity attitudes. Management Science, 64(5), 2181–2198.
4. Baillon, A., Bleichrodt, H., Li, C., & Wakker, P. P. (2021). Belief hedges: Measuring ambiguity for all events and all models. Journal of Economic Theory, 198, 105353.
5. Baillon, A., Huang, Z., Selim, A., & Wakker, P. P. (2018b). Measuring ambiguity attitudes for all (natural) events. Econometrica, 86(5), 1839–1858.