Please use this identifier to cite or link to this item:
https://doi.org/10.1016/j.jfineco.2016.01.003
Title: | Ambiguity aversion and household portfolio choice puzzles: Empirical evidence | Authors: | Dimmock, Stephen G Kouwenberg, Roy Mitchell, Olivia S Peijnenburg, Kim |
Keywords: | Social Sciences Business, Finance Economics Business & Economics Ambiguity aversion Stock market participation Household portfolio puzzles Home-bias Own-company stock puzzle Portfolio under-diversification Household finance Financial literacy EXPECTED UTILITY FINANCIAL LITERACY RISK UNCERTAINTY ALLOCATION MODEL STOCK DIVERSIFICATION PARTICIPATION FAMILIARITY |
Issue Date: | 1-Mar-2016 | Publisher: | ELSEVIER SCIENCE SA | Citation: | Dimmock, Stephen G, Kouwenberg, Roy, Mitchell, Olivia S, Peijnenburg, Kim (2016-03-01). Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. JOURNAL OF FINANCIAL ECONOMICS 119 (3) : 559-577. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jfineco.2016.01.003 | Abstract: | We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks. | Source Title: | JOURNAL OF FINANCIAL ECONOMICS | URI: | https://scholarbank.nus.edu.sg/handle/10635/205638 | ISSN: | 0304405X 18792774 |
DOI: | 10.1016/j.jfineco.2016.01.003 |
Appears in Collections: | Staff Publications Elements |
Show full item record
Files in This Item:
File | Description | Size | Format | Access Settings | Version | |
---|---|---|---|---|---|---|
Ambiguity aversion.pdf | 707.49 kB | Adobe PDF | OPEN | Post-print | View/Download |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.