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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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    1. Richard H. Thaler & Amos Tversky & Daniel Kahneman & Alan Schwartz, 1997. "The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(2), pages 647-661.
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    3. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    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..
    9. Uri Gneezy & Jan Potters, 1997. "An Experiment on Risk Taking and Evaluation Periods," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(2), pages 631-645.
    10. Matthew Rabin, 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Econometrica, Econometric Society, vol. 68(5), pages 1281-1292, September.
    11. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(1), pages 73-92.
    12. repec:bla:scandj:v:87:y:1985:i:3:p:463-73 is not listed on IDEAS
    13. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
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    15. Christian Gollier, 1996. "Repeated Optional Gambles and Risk Aversion," Management Science, INFORMS, vol. 42(11), pages 1524-1530, November.
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    17. Craig R. Fox & Amos Tversky, 1995. "Ambiguity Aversion and Comparative Ignorance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(3), pages 585-603.
    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.
    24. 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.
    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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