Author : Stephen G. Dimmock
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Ambiguity Aversion and Household Portfolio Choice Puzzles by : Stephen G. Dimmock
Download or read book Ambiguity Aversion and Household Portfolio Choice Puzzles written by Stephen G. Dimmock and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the relation between ambiguity aversion and five household portfolio choice puzzles: non-participation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative U.S. 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.