| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18743 |
| 来源ID | Working Paper 18743 |
| Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence | |
| Stephen G. Dimmock; Roy Kouwenberg; Olivia S. Mitchell; Kim Peijnenburg | |
| 发表日期 | 2013-01-25 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U.S. household survey, we measure ambiguity aversion 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 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. |
| 主题 | Econometrics ; Data Collection ; Microeconomics ; Households and Firms ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18743 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576416 |
| 推荐引用方式 GB/T 7714 | Stephen G. Dimmock,Roy Kouwenberg,Olivia S. Mitchell,et al. Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18743.pdf（591KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
