Journal
AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
Volume 7, Issue 2, Pages 77-100Publisher
AMER ECONOMIC ASSOC
DOI: 10.1257/mic.20130196
Keywords
-
Categories
Funding
- Netherlands Organization for Scientific Research (NWO) [451-10-011, 453-06-001]
Ask authors/readers for more resources
This paper reports on two experiments that test the descriptive validity of ambiguity models using a natural source of uncertainty (the evolution of stock indices) and both gains and losses. We observed violations of probabilistic sophistication, violations that imply a fourfold pattern of ambiguity attitudes: ambiguity aversion for likely gains and unlikely losses and ambiguity seeking for unlikely gains and likely losses. Our data are most consistent with prospect theory and, to a lesser extent, alpha-maxmin expected utility and Choquet expected utility. Models with uniform ambiguity attitudes are inconsistent with most of the observed behavioral patterns.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available