A Note on Skewness Seeking: An Experimental Analysis
AbstractIn this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We ï¬nd that the skewness of a distribution has a signiï¬cant impact on the decisions. Yet, while skewness has an impact, its direction diï¬€ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to avoid skewness. On the level of individual decisions we ï¬nd that the variance of the prospects and subjectsâ€™ experience increase the probability of their choosing the lottery with greater skewness.
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Bibliographic InfoPaper provided by Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics in its series Jena Economic Research Papers with number 2007-079.
Date of creation: 01 Nov 2007
Date of revision:
Skewness; Stochastic dominance; Decision making under uncertainty;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-10 (All new papers)
- NEP-CBE-2007-11-10 (Cognitive & Behavioural Economics)
- NEP-EXP-2007-11-10 (Experimental Economics)
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