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

40 Pages Posted: 6 Mar 2019 Last revised: 8 Feb 2024

See all articles by Kanin Anantanasuwong

Kanin Anantanasuwong

Mahidol University, College of Management, Students

Roy Kouwenberg

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Mahidol University - College of Management; Erasmus University Rotterdam (EUR)

Olivia S. Mitchell

University of Pennsylvania - The Wharton School; University of Pennsylvania - The Wharton School, Pension Research Council; National Bureau of Economic Research (NBER)

Kim Peijnenburg

Netspar; Centre for Economic Policy Research (CEPR); EDHEC Business School - Department of Economics & Finance

Multiple version iconThere are 3 versions of this paper

Date Written: February 14, 2019

Abstract

The online appendix to this paper can be found at: https://ssrn.com/abstract=3332255.

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, investment, preferences, financial literacy

JEL Classification: D81, C93, D14

Suggested Citation

Anantanasuwong, Kanin and Kouwenberg, Roy R. P. and Kouwenberg, Roy R. P. and Mitchell, Olivia S. and Peijnenburg, Kim, Ambiguity Attitudes for Real-World Sources: Field Evidence from a Large Sample of Investors (February 14, 2019). Wharton Pension Research Council Working Paper No. 2019-02, Available at SSRN: https://ssrn.com/abstract=3331243

Kanin Anantanasuwong

Mahidol University, College of Management, Students ( email )

Salaya
Thailand

Roy R. P. Kouwenberg (Contact Author)

Mahidol University - College of Management ( email )

69 Vipawadee Rangsit Road
Bangkok, 10400
Thailand

HOME PAGE: http://https://www.cm.mahidol.ac.th/web/index.php/18-faculty/148-roy-kouwenberg-ph-d-cfa

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Olivia S. Mitchell

University of Pennsylvania - The Wharton School ( email )

Philadelphia, PA 19104-6365
United States

University of Pennsylvania - The Wharton School, Pension Research Council ( email )

3302 Steinberg Hall-Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104-6302
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Kim Peijnenburg

Netspar ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

EDHEC Business School - Department of Economics & Finance ( email )

France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
87
Abstract Views
968
Rank
412,003
PlumX Metrics