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Ambiguity aversion and the equity premium puzzle: A re-examination of experimental data on repeated gambles

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  • Aloysius, John A.

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  • Aloysius, John A., 2005. "Ambiguity aversion and the equity premium puzzle: A re-examination of experimental data on repeated gambles," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 34(5), pages 635-655, October.
    • Handle: RePEc:eee:soceco:v:34:y:2005:i:5:p:635-655
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    4. Shlomo Benartzi & Richard H. Thaler, 1999. "Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments," Management Science, INFORMS, vol. 45(3), pages 364-381, March.
    5. Boiney, Lindsley G., 1993. "The Effects of Skewed Probability on Decision Making under Ambiguity," Organizational Behavior and Human Decision Processes, Elsevier, vol. 56(1), pages 134-148, October.
    6. Camerer, Colin & Weber, Martin, 1992. "Recent Developments in Modeling Preferences: Uncertainty and Ambiguity," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 325-370, October.
    7. Thomas Langer & Martin Weber, 2001. "Prospect Theory, Mental Accounting, and Differences in Aggregated and Segregated Evaluation of Lottery Portfolios," Management Science, INFORMS, vol. 47(5), pages 716-733, May.
    8. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
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    12. Nielsen, Lars Tyge, 1985. " Attractive Compounds of Unattractive Investments and Gambles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 87(3), pages 463-473.
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    18. Matthew Rabin & Richard H. Thaler, 2013. "Anomalies: Risk aversion," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 27, pages 467-480, World Scientific Publishing Co. Pte. Ltd..
    19. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 75(4), pages 643-669.
    20. Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 323-339, September.
    21. Viscusi, W Kip & Magat, Wesley A, 1992. "Bayesian Decisions with Ambiguous Belief Aversion," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 371-387, October.
    22. Einhorn, Hillel J & Hogarth, Robin M, 1986. "Decision Making under Ambiguity," The Journal of Business, University of Chicago Press, vol. 59(4), pages 225-250, October.
    23. Camerer, Colin & Kunreuther, Howard, 1989. "Experimental Markets for Insurance," Journal of Risk and Uncertainty, Springer, vol. 2(3), pages 265-299, September.
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    25. Aloysius, John A., 1999. "Risk aggregation and the efficient selection of joint projects by a consortium," Omega, Elsevier, vol. 27(3), pages 389-396, June.
    26. Schoemaker, Paul J. H. & Hershey, John C., 1996. "Maximizing Your Chance of Winning: The Long and Short of It Revisited," Organizational Behavior and Human Decision Processes, Elsevier, vol. 65(3), pages 194-200, March.
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    Cited by:

    1. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
    2. Venkatraman, Srinivasan & Aloysius, John A. & Davis, Fred D., 2006. "Multiple prospect framing and decision behavior: The mediational roles of perceived riskiness and perceived ambiguity," Organizational Behavior and Human Decision Processes, Elsevier, vol. 101(1), pages 59-73, September.

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