Replication data for: Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses
- Baillon, Aurélien
- Bleichrodt, Han
AbstractThis 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)
Is version of
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