Publication: Ambiguity aversion and household portfolio choice puzzles: Empirical evidence
Issued Date
2016-03-01
Resource Type
ISSN
0304405X
Other identifier(s)
2-s2.0-84960803655
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
Journal of Financial Economics. Vol.119, No.3 (2016), 559-577
Suggested Citation
Stephen G. Dimmock, Roy Kouwenberg, Olivia S. Mitchell, Kim Peijnenburg Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. Journal of Financial Economics. Vol.119, No.3 (2016), 559-577. doi:10.1016/j.jfineco.2016.01.003 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/43236
Research Projects
Organizational Units
Authors
Journal Issue
Thesis
Title
Ambiguity aversion and household portfolio choice puzzles: Empirical evidence
Abstract
© 2016. 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 using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks.