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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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    File URL: http://www.sciencedirect.com/science/article/B6W5H-4GTVYMX-2/2/12a18d0afb031a25487a426172a0278b
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics).

    Volume (Year): 34 (2005)
    Issue (Month): 5 (October)
    Pages: 635-655

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    Handle: RePEc:eee:soceco:v:34:y:2005:i:5:p:635-655

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    Web page: http://www.elsevier.com/locate/inca/620175

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    1. 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.
    2. Matthew Rabin., 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Economics Working Papers E00-279, University of California at Berkeley.
    3. Nielsen, Lars Tyge, 1985. " Attractive Compounds of Unattractive Investments and Gambles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 87(3), pages 463-73.
    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. Thaler, Richard H, et al, 1997. "The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test," The Quarterly Journal of Economics, MIT Press, vol. 112(2), pages 647-61, May.
    6. Matthew Rabin & Richard H. Thaler, 2001. "Anomalies: Risk Aversion," Journal of Economic Perspectives, American Economic Association, vol. 15(1), pages 219-232, Winter.
    7. Camerer, Colin & Kunreuther, Howard, 1989. " Experimental Markets for Insurance," Journal of Risk and Uncertainty, Springer, vol. 2(3), pages 265-99, September.
    8. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    9. Viscusi, W Kip & Magat, Wesley A, 1992. " Bayesian Decisions with Ambiguous Belief Aversion," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 371-87, October.
    10. Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 323-339, September.
    11. Fox, Craig R & Tversky, Amos, 1995. "Ambiguity Aversion and Comparative Ignorance," The Quarterly Journal of Economics, MIT Press, vol. 110(3), pages 585-603, August.
    12. Gneezy, U. & Potters, J.J.M., 1996. "An experiment on risk taking and evaluation periods," Discussion Paper 1996-61, Tilburg University, Center for Economic Research.
    13. Einhorn, Hillel J & Hogarth, Robin M, 1986. "Decision Making under Ambiguity," The Journal of Business, University of Chicago Press, vol. 59(4), pages S225-50, October.
    14. Heath, Chip & Tversky, Amos, 1991. " Preference and Belief: Ambiguity and Competence in Choice under Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 4(1), pages 5-28, January.
    15. 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.
    16. Benartzi, Shlomo & Thaler, Richard H, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 73-92, February.
    17. Lopes, Lola L., 1996. "When Time Is of the Essence: Averaging, Aspiration, and the Short Run," Organizational Behavior and Human Decision Processes, Elsevier, vol. 65(3), pages 179-189, March.
    18. Christian Gollier, 1996. "Repeated Optional Gambles and Risk Aversion," Management Science, INFORMS, vol. 42(11), pages 1524-1530, November.
    19. 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.
    20. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    21. Camerer, Colin & Weber, Martin, 1992. " Recent Developments in Modeling Preferences: Uncertainty and Ambiguity," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 325-70, October.
    22. Rakesh K. Sarin & Martin Weber, 1993. "Effects of Ambiguity in Market Experiments," Management Science, INFORMS, vol. 39(5), pages 602-615, May.
    23. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    24. Daniel Kahneman & Dan Lovallo, 1993. "Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking," Management Science, INFORMS, vol. 39(1), pages 17-31, January.
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    Cited by:
    1. 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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