Replication data for: Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses

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Project Citation:

Baillon, Aurélien, and Bleichrodt, Han. Replication data for: Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114328V1

Project Description

Summary: 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, α-maxmin expected utility and Choquet expected utility. Models with uniform ambiguity attitudes are inconsistent with most of the observed behavioral patterns. (JEL D81, D83, G11, G12, G14)

Scope of Project

JEL Classification:
      D81 Criteria for Decision-Making under Risk and Uncertainty
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      G11 Portfolio Choice; Investment Decisions
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G14 Information and Market Efficiency; Event Studies; Insider Trading

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Published Versions

V1 [2019-10-12]

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