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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/31332
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| Title: | Ambiguity and Overconfidence |
| Authors: | Brenner, Menachem
Izhakian, Yehuda
Sade, Orly |
| Issue Date: | 30-Nov-2011 |
| Series/Report no.: | FIN-11-012 |
| Abstract: | There are two phenomena in behavioral finance and economics which are
seemingly unrelated and have been studied separately; overconfidence and
ambiguity aversion. In this paper we are trying to link these two
phenomena providing a theoretical foundation supported by evidence from
an experimental study. We derive a model, based on the max-min ambiguity
framework that links overconfidence to ambiguity aversion. In the
experimental study we find that overconfidence is decreasing in
ambiguity, as predicted by our model. |
| URI: | http://hdl.handle.net/2451/31332 |
| Appears in Collections: | Finance Working Papers
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