Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

• Main Authors: Dimmock, Stephen Geoffrey, Kouwenberg, Roy, Mitchell, Olivia S., Peijnenburg, Kim
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2016
• Subjects: ambiguity aversion; stock market participation; household portfolio puzzles; DRNTU::Business; home-bias; own-company stock puzzle; portfolio under-diversification; household finance
• Online Access: https://hdl.handle.net/10356/82775; http://hdl.handle.net/10220/40311
• Institution: Nanyang Technological University

We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences...