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 |
Files in This Item:
File | Description | Size | Format | |
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Ambg 11-2-28.F.pdf | 365.71 kB | Adobe PDF | View/Open |
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