Investor Behavior Under Epistemic vs. Aleatory Uncertainty

• 成果类型: Article
• 署名作者: Walters, Daniel J.; Ulkumen, Gulden; Tannenbaum, David; Erner, Carsten; Fox, Craig R.
• 署名单位: INSEAD Business School; University of Southern California; Utah System of Higher Education; University of Utah; University of California System; University of California Los Angeles
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4489
• 发表日期: 2023
• 页码: 2761-2777
• 关键词: Investor behavior; decision making; epistemic uncertainty; aleatory uncertainty

摘要

We provide evidence that investor behavior is sensitive to two dimensions of subjective uncertainty concerning future asset values. Investors vary in the extent to which they attribute market uncertainty to (1) missing knowledge, skill, or information (epistemic uncertainty) and (2) chance or stochastic processes (aleatory uncertainty). Investors who view stock market uncertainty as higher in epistemicness (knowability) are more likely to reduce uncertainty by seeking guidance from experts and are more responsive more responsive to available information when choosing whether to invest. In contrast, investors who view stock market uncertainty as higher in aleatoriness (randomness) are more likely to reduce uncertainty through diversification, and their risk preferences better predict whether they choose to invest. We show, further, that attributions of uncertainty can be perturbed by the format in which historical information is presented: charts displaying absolute stock prices promote perceptions of epistemicness and greater willingness to pay for financial advice, whereas charts displaying the change in stock prices from one period to the next promote perceptions of aleatoriness and a greater tendency to diversify.