Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China
AbstractWe 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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Bibliographic InfoArticle provided by Springer in its journal Review of Economic Design.
Volume (Year): 16 (2012)
Issue (Month): 2 (September)
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Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C93 - Mathematical and Quantitative Methods - - Design of Experiments - - - Field Experiments
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
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