Replication data for: Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses

Version
1
Resource Type
Dataset
Creator
  • Baillon, Aurélien
  • Bleichrodt, Han
Publication Date
2015-04-01
Description
  • Abstract

    This paper reports on two experiments that test the descriptive validity of ambiguity models using a natural source of uncertainty (the evolution of stock indices) and both gains and losses. We observed violations of probabilistic sophistication, violations that imply a fourfold pattern of ambiguity attitudes: ambiguity aversion for likely gains and unlikely losses and ambiguity seeking for unlikely gains and likely losses. Our data are most consistent with prospect theory and, to a lesser extent, α-maxmin expected utility and Choquet expected utility. Models with uniform ambiguity attitudes are inconsistent with most of the observed behavioral patterns. (JEL D81, D83, G11, G12, G14)
Availability
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This study is freely available to the general public via web download.
Relations
  • Is version of
    DOI: 10.3886/E114328
Publications
  • Baillon, Aurélien, and Han Bleichrodt. “Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses.” American Economic Journal: Microeconomics 7, no. 2 (May 2015): 77–100. https://doi.org/10.1257/mic.20130196.
    • ID: 10.1257/mic.20130196 (DOI)

Update Metadata: 2020-12-08 | Issue Number: 1 | Registration Date: 2020-12-08