Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/207072 
Year of Publication: 
2019
Series/Report no.: 
Working Papers in Economics and Statistics No. 2019-06
Publisher: 
University of Innsbruck, Research Platform Empirical and Experimental Economics (eeecon), Innsbruck
Abstract: 
In real world financial markets, dividend processes as well as fundamental values are governed by imprecision; neither the objective probabilities of returns nor the actual amounts of possible returns are known for certain. With a novel experimental approach, we analyze the impact of risk, imprecision in probabilities (ambiguity), imprecision in outcomes, and a combination of the latter two in an individual decision task and in a market environment. In contrast to the previous literature, we do not find any significant imprecision premia for imprecise probabilities. However, we do find significant and persistent imprecision-in-outcomes seeking in the individual task as well as the market setting. Looking deeper into the combination of individual attitudes and market behavior, we find that these patterns survive despite a high level of heterogeneity in individual's beliefs about outcomes.
Subjects: 
ambiguity aversion
imprecision
uncertainty
asset markets
experimental finance
JEL: 
G11
G12
C92
D81
Document Type: 
Working Paper

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