Dimmock Stephen G, Kouwenberg Roy, Mitchell Olivia S, Peijnenburg Kim
Nanyang Technological University, 50 Nanyang Avenue, Singapore, 639798.
Mahidol University and Erasmus University, 69 Vipawadee Rangsit Rd., Bangkok, Thailand, 10400.
J financ econ. 2016 Mar;119(3):559-577. doi: 10.1016/j.jfineco.2016.01.003. Epub 2016 Jan 20.
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.
不参与股票投资、对股票的低配置、本土偏好、持有自家公司股票以及投资组合分散不足。在美国一项具有代表性的家庭调查中，我们基于埃尔斯伯格瓮模型设计了定制问题来衡量模糊偏好。正如理论所预测的，模糊规避与股票市场参与度、股票在金融资产中的占比以及外国股票持有量呈负相关，但与持有自家公司股票呈正相关。在拥有股票的条件下，模糊规避与投资组合分散不足有关，并且在金融危机期间，规避模糊的受访者更有可能抛售股票。
