Review of Economic Design

, Volume 16, Issue 2–3, pp 193–213 | Cite as

Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China

Original Paper
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Abstract

We conducted quasi-field experiments in Chinese brokerage houses to investigate how investors react to ambiguity relative to quantifiable risks and the degree of heterogeneity in these reactions. Our experiment consists of three sections; a background survey; individual self-reports of emotional states; and a series of individual portfolio choice questions involving ambiguous assets and assets with a known probability of success. We calculate an index of ambiguity aversion that controls for risk aversion through a series of simple choices and demonstrate its outside validity. We find a significant degree of heterogeneity in ambiguity attitudes and discuss some demographic or emotional factors that might contribute to this heterogeneity. We also discuss the correlation between ambiguity attitudes and risk attitudes. By conducting these experiments in China, we were able to measure the degree of ambiguity aversion among a sample of experienced and accessible investors who face ambiguous decisions on a daily basis.

Keywords

Ambiguity attitudes Ambiguity aversion Field experiment Individual investors 

JEL Classification

D81 C93 G02 
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Copyright information

© Springer-Verlag 2012

Authors and Affiliations

  1. 1.Mathematica Policy ResearchPrincetonUSA
  2. 2.Shanghai University of Finance and EconomicsShanghaiChina

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