Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/82775
Title: Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence
Authors: Dimmock, Stephen Geoffrey
Kouwenberg, Roy
Mitchell, Olivia S.
Peijnenburg, Kim
Keywords: ambiguity aversion
stock market participation
household portfolio puzzles
DRNTU::Business
home-bias
own-company stock puzzle
portfolio under-diversification
household finance
Issue Date: 2016
Source: Dimmock, S. G., Kouwenberg, R., Mitchell, O. S., & Peijnenburg, K. (2016). Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. Journal of Financial Economics, 119(3), 559-577.
Series/Report no.: Journal of Financial Economics
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.
URI: https://hdl.handle.net/10356/82775
http://hdl.handle.net/10220/40311
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2016.01.003
Schools: Nanyang Business School 
Rights: © 2016 Elsevier. This is the author created version of a work that has been peer reviewed and accepted for publication by Journal of Financial Economics, Elsevier. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.jfineco.2016.01.003].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Journal Articles

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