Ambiguity attitudes in a large representative sample
©2016 INFORMS. 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 componen...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/43311 |
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| Institution: | Mahidol University |
| Summary: | ©2016 INFORMS. 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. |
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