Working Papers
"Measuring Ambiguity Attitudes:a field experiment among small scale stock holdes in China", joint with Elizabeth Potamites (under revision)
We conducted quasi-field experiments on the stock trading floors in China 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. 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. We propose an index of ambiguity aversion that controls for risk aversion, show how to calculate it through a series of simple choices and demonstrate its outside validity. We find a significant degree of heterogeneity in ambiguity attitudes. We also discuss correlation between ambiguity attitudes and risk attitudes, and some demographic or emotional factors that might contribute to the heterogeneity of ambiguity attitudes.