Individual attitudes and market dynamics towards imprecision

Arbeitspapier

In real world financial markets, dividend processes as well as fundamental values are governed by imprecision; neither the objective probabilities of returns nor the actual amounts of possible returns are known for certain. With a novel experimental approach, we analyze the impact of risk, imprecision in probabilities (ambiguity), imprecision in outcomes, and a combination of the latter two in an individual decision task and in a market environment. In contrast to the previous literature, we do not find any significant imprecision premia for imprecise probabilities. However, we do find significant and persistent imprecision-in-outcomes seeking in the individual task as well as the market setting. Looking deeper into the combination of individual attitudes and market behavior, we find that these patterns survive despite a high level of heterogeneity in individual's beliefs about outcomes.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Papers in Economics and Statistics ; No. 2019-06

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Design of Experiments: Laboratory, Group Behavior ; Criteria for Decision-Making under Risk and Uncertainty
• Thema: ambiguity aversion ; imprecision ; uncertainty ; asset markets ; experimental finance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Huber, Christoph ; Rose, Julia
• Ereignis: Veröffentlichung
• (wer): University of Innsbruck, Research Platform Empirical and Experimental Economics (eeecon)
• (wo): Innsbruck
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/207072
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ