Mitchell, Olivia; Dimmock, Stephen G.; Kouwenberg, Roy; … - National Bureau of Economic Research (NBER) - 2013
We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low ….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 …