Rieger, Marc Oliver; Wang, Mei - In: Finance Research Letters 9 (2012) 2, pp. 63-72
Ambiguity aversion has been suggested as a potential explanation for the equity premium puzzle in recent theoretical … models. To test this hypothesis, we measure the amount of ambiguity aversion in a large-scale international survey. A … comparison to the average equity premia in these countries demonstrates that ambiguity aversion does, indeed, have a significant …