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Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China

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  • Elizabeth Potamites

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  • Bei Zhang

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    Abstract

    We conducted quasi-field experiments in Chinese brokerage houses to investigate how investors react to ambiguity relative to quantifiable risks and the degree of heterogeneity in these reactions. Our experiment consists of three sections; a background survey; individual self-reports of emotional states; and a series of individual portfolio choice questions involving ambiguous assets and assets with a known probability of success. We calculate an index of ambiguity aversion that controls for risk aversion through a series of simple choices and demonstrate its outside validity. We find a significant degree of heterogeneity in ambiguity attitudes and discuss some demographic or emotional factors that might contribute to this heterogeneity. We also discuss the correlation between ambiguity attitudes and risk attitudes. By conducting these experiments in China, we were able to measure the degree of ambiguity aversion among a sample of experienced and accessible investors who face ambiguous decisions on a daily basis. Copyright Springer-Verlag 2012

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    File URL: http://hdl.handle.net/10.1007/s10058-012-0125-7
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    Bibliographic Info

    Article provided by Springer in its journal Review of Economic Design.

    Volume (Year): 16 (2012)
    Issue (Month): 2 (September)
    Pages: 193-213

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    Handle: RePEc:spr:reecde:v:16:y:2012:i:2:p:193-213

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    Related research

    Keywords: Ambiguity attitudes; Ambiguity aversion; Field experiment; Individual investors; D81; C93; G02;

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    7. Halevy, Yoram, 2005. "Ellsberg Revisited: an Experimental Study," Microeconomics.ca working papers halevy-05-07-26-11-51-13, Vancouver School of Economics, revised 25 Feb 2014.
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    9. Jim Engle-Warnick & Javier Escobal & Sonia Laszlo, 2007. "Ambiguity Aversion as a Predictor of Technology Choice: Experimental Evidence from Peru," CIRANO Working Papers 2007s-01, CIRANO.
    10. Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2009. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Documents de travail du Centre d'Economie de la Sorbonne 09029, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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