@techreport{Viefers2012Should,
abstract = {This paper investigates the impact of uncertainty on an irreversible investment decisions in the laboratory. Subjects own the option to seize a claim on the future sum of realizations from an (ambiguous) random walk. I contrast model predicitions of the Subjective Expected Utility model (SEU, Savage, 1954) with model predictions made by Multiple-prior Expected Utility models (MEU, Gilboa & Schmeidler, 1989; Epstein & Schneider, 2003b). I present an experimental design that allows to identify behaviorally meaningful deviations from SEU. Observed behavior is at odds with the SEU prediction. On average, subjects in a treatment group, facing an ambiguous random walk, exhibit an ambiguity premium that presents a mark-up on average reservation profits in a control group. Hence, subjects shun to expose themselves to an ambiguous payoff process and invest later than participants facing a risky payoff process.},
address = {Berlin},
author = {Paul Viefers},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {D80; D83; 330; Ambiguity aversion; multiple priors; optimal stopping; irreversible investment},
language = {eng},
number = {1228},
publisher = {Deutsches Institut f\"{u}r Wirtschaftsforschung (DIW)},
title = {Should I stay or should I go? A laboratory analysis of investment opportunities under ambiguity},
type = {Discussion Papers, German Institute for Economic Research, DIW Berlin},
url = {http://hdl.handle.net/10419/61311},
year = {2012}
}
