Online Appendix for Ambiguity Attitudes for Real-World Sources: Field Evidence from a Large Sample of Investors

Abstract

The full-text version of this paper can be found at: https://ssrn.com/abstract=3331243, https://ssrn.com/abstract=3336513, and https://ssrn.com/abstract=3336776.


Empirical studies of ambiguity aversion mostly use artificial events such as Ellsberg urns to control for unknown probability beliefs. The present study measures ambiguity attitudes using real-world events in a large sample of investors. We elicit ambiguity aversion and perceived ambiguity for a familiar company stock, a local stock index, a foreign stock index, and Bitcoin. Measurement reliability is higher than for artificial sources in previous studies. Ambiguity aversion is highly correlated for different assets, while perceived ambiguity varies more between assets. Further, we show that ambiguity attitudes are related to actual investment choices.

Keywords: Ambiguity, decision-making under uncertainty, investments, preferences, financial literacy

JEL Classification: D81; C93; D14