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Ambiguity aversion and the equity premium puzzle: A re-examination of experimental data on repeated gambles

  • Aloysius, John A.
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    File URL: http://www.sciencedirect.com/science/article/B6W5H-4GTVYMX-2/2/12a18d0afb031a25487a426172a0278b
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620175

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    1. Gneezy, U. & Potters, J.J.M., 1997. "An experiment on risk taking and evaluation periods," Other publications TiSEM da6ba1bf-e15c-41b2-ae95-c, Tilburg University, School of Economics and Management.
    2. 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.
    3. repec:ner:tilbur:urn:nbn:nl:ui:12-73908 is not listed on IDEAS
    4. 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.
    5. 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.
    6. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
    7. Matthew Rabin, 2001. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Method and Hist of Econ Thought 0012001, EconWPA.
    8. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
    9. Nielsen, Lars Tyge, 1985. " Attractive Compounds of Unattractive Investments and Gambles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 87(3), pages 463-73.
    10. 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.
    11. Rakesh K. Sarin & Martin Weber, 1993. "Effects of Ambiguity in Market Experiments," Management Science, INFORMS, vol. 39(5), pages 602-615, May.
    12. 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.
    13. 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.
    14. 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.
    15. Matthew Rabin & Richard H. Thaler, 2001. "Anomalies: Risk Aversion," Journal of Economic Perspectives, American Economic Association, vol. 15(1), pages 219-232, Winter.
    16. 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.
    17. 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.
    18. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    19. Christian Gollier, 1996. "Repeated Optional Gambles and Risk Aversion," Management Science, INFORMS, vol. 42(11), pages 1524-1530, November.
    20. Camerer, Colin & Kunreuther, Howard, 1989. " Experimental Markets for Insurance," Journal of Risk and Uncertainty, Springer, vol. 2(3), pages 265-99, September.
    21. 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.
    22. 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.
    23. 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.
    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. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    26. 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.
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