Ambiguity attitudes in a large representative sample

• Autores: Stephen G. Dimmock, Roy Kouwenberg, Peter P. Wakker
• Localización: Management science: journal of the Institute for operations research and the management sciences, ISSN 0025-1909, Vol. 62, Nº. 5, 2016, págs. 1363-1380
• Idioma: inglés
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• Resumen

  • 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.