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Ambiguity aversion and stock market participation : an empirical analysis
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Antoniou, Constantinos, Harris, Richard D. F. and Zhang, Ruogu (2015) Ambiguity aversion and stock market participation : an empirical analysis. Journal of Banking & Finance, Volume 58 . pp. 57-70. doi:10.1016/j.jbankfin.2015.04.009 ISSN 0378-4266.
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Official URL: http://dx.doi.org/10.1016/j.jbankfin.2015.04.009
Abstract
Theoretical models of portfolio choice that incorporate ambiguity predict that investors’ propensity to invest in equities is reduced when ambiguity in the stock market increases. Although this hypothesis stems from the extant theoretical literature, there is no empirical work examining whether it is supported in the data. We test this hypothesis, measuring participation using equity fund flows and ambiguity with dispersion in analyst forecasts about aggregate returns. Our results confirm this hypothesis, as we show that, controlling for other factors that affect flows, increases in ambiguity are associated with outflows from equity funds. Moreover, using data from the Survey of Consumer Finances, we find that increases in ambiguity significantly reduce the likelihood that the average household invests in equities.
| Item Type: | Journal Article | ||||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Behavioural Science Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Investments, Stocks, Stockholders, Stock exchanges | ||||||||||
| Journal or Publication Title: | Journal of Banking & Finance | ||||||||||
| Publisher: | Elsevier Science BV | ||||||||||
| ISSN: | 0378-4266 | ||||||||||
| Official Date: | September 2015 | ||||||||||
| Dates: |
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| Volume: | Volume 58 | ||||||||||
| Page Range: | pp. 57-70 | ||||||||||
| DOI: | 10.1016/j.jbankfin.2015.04.009 | ||||||||||
| Status: | Peer Reviewed | ||||||||||
| Publication Status: | Published | ||||||||||
| Access rights to Published version: | Restricted or Subscription Access |
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