NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Roy Kouwenberg

College of Management
Mahidol University
69 Vipawadee Rangsit Rd
Bangkok, 10400, Thailand

E-Mail: cmroy@mahidol.ac.th

NBER Working Papers and Publications

January 2013Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
with Stephen G. Dimmock, Olivia S. Mitchell, Kim Peijnenburg: w18743
We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U.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 foreign stock ownership, but 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.

Published: Stephen G. Dimmock & Roy Kouwenberg & Olivia S. Mitchell & Kim Peijnenburg, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, vol 119(3), pages 559-577.

 
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