Ambiguity and Investor Behavior

45 Pages Posted: 14 Mar 2019 Last revised: 24 Nov 2020

See all articles by Dimitrios Kostopoulos

Dimitrios Kostopoulos

Leibniz Universität Hannover

Steffen Meyer

Aarhus University - Department of Finance; Danish Finance Institute

Charline Uhr

Goethe University Frankfurt

Date Written: April 1, 2020


We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey evidence reveals that ambiguity averse investors are more prone to ambiguity shocks. Our results are robust to alternative survey-, newspaper- or market-based ambiguity measures.

Keywords: ambiguity, uncertainty, individual investor, trading behavior

JEL Classification: D10, D81, D90, G11, G40

Suggested Citation

Kostopoulos, Dimitrios and Meyer, Steffen and Uhr, Charline, Ambiguity and Investor Behavior (April 1, 2020). SAFE Working Paper No. 297, Available at SSRN: or

Dimitrios Kostopoulos

Leibniz Universität Hannover ( email )

Königsworther Platz 1
Hannover, 30167

Steffen Meyer (Contact Author)

Aarhus University - Department of Finance ( email )

Fuglesangs Alle 4
DK-8210 Aarhus

Danish Finance Institute ( email )

Charline Uhr

Goethe University Frankfurt ( email )

Frankfurt am Main, 60323

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