Publication: Ambiguity attitudes in a large representative sample
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2016-05-01
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15265501
00251909
00251909
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2-s2.0-84968756754
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Mahidol University
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SCOPUS
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Management Science. Vol.62, No.5 (2016), 1363-1380
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Stephen G. Dimmock, Roy Kouwenberg, Peter P. Wakker Ambiguity attitudes in a large representative sample. Management Science. Vol.62, No.5 (2016), 1363-1380. doi:10.1287/mnsc.2015.2198 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/43311
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Ambiguity attitudes in a large representative sample
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©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.