Ambiguity and investor behavior

Dimitrios Kostopoulos/Steffen Meyer/Charline Uhr

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey evidence reveals that ambiguity averse investors are more prone to ambiguity shocks. Our results are robust to alternative survey-, newspaper- or market-based ambiguity measures.

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Year of publication:	[2020]
Authors:	Kostopoulos, Dimitrios ; Meyer, Steffen ; Uhr, Charline
Publisher:	Frankfurt am Main : Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe
Subject:	ambiguity \| uncertainty \| individual investor \| risk-taking \| trading behavior \| Anlageverhalten \| Behavioural finance \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Risikopräferenz \| Risk attitude \| Theorie \| Theory \| Risikoaversion \| Risk aversion \| Kapitalanlage \| Financial investment \| Portfolio-Management \| Portfolio selection \| Erwartungsnutzen \| Expected utility \| Entscheidung unter Risiko \| Decision under risk \| Risiko \| Risk

Extent:	1 Online-Ressource (circa 45 Seiten) Illustrationen
Series:	SAFE working paper. - Frankfurt am Main : SAFE, ZDB-ID 2745463-0. - Vol. no. 297
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3340851 [DOI] hdl:10419/227742 [Handle]
Classification:	D10 - Household Behavior and Family Economics. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D90 - Intertemporal Choice and Growth. General ; G11 - Portfolio Choice ; g40
Source:	ECONIS - Online Catalogue of the ZBW

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