Ambiguity Attitudes in a Large Representative Sample

• 成果类型: Article
• 署名作者: Dimmock, Stephen G.; Kouwenberg, Roy; Wakker, Peter P.
• 署名单位: Nanyang Technological University; Mahidol University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2198
• 发表日期: 2016
• 页码: 1363-1380
• 关键词: Ambiguity aversion; uncertainty; portfolio choice; Knightian uncertainty; nonexpected utility; reference dependence; Stock market participation; nonparticipation

摘要

Using a theorem showing that matching probabilities of ambiguous events can capture ambiguity attitudes, we introduce a tractable method for measuring ambiguity attitudes and apply it in a large representative sample. In addition to ambiguity aversion, we confirm an ambiguity component recently found in laboratory studies: a-insensitivity, the tendency to treat subjective likelihoods as 50-50, thus overweighting extreme events. Our ambiguity measurements are associated with real economic decisions; specifically, a-insensitivity is negatively related to stock market participation. Ambiguity aversion is also negatively related to stock market participation, but only for subjects who perceive stock returns as highly ambiguous.