Ambiguity Aversion and Stock Market Participation: An Empirical Analysis
Ambiguity Aversion and Stock Market Participation: An Empirical Analysis
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模糊厌恶与股市参与：实证分析
DOI：
10.2139/ssrn.2211408
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Ruogu Zhang
中科院分区：
文献类型：
--
作者：
Constantinos Antoniou;Richard D. F. Harris;Ruogu Zhang
包含模糊性的投资组合选择理论模型预测，当股票市场的模糊性增加时，投资者投资股票的倾向会降低。虽然这一假设源于现有的理论文献，但没有实证工作来检验它是否得到数据的支持。我们检验了这一假设，使用股票基金流量和分析师对总收益预测的模糊性和分散性来衡量参与。我们的结果证实了这一假设，因为我们表明，在控制影响资金流动的其他因素后，模糊性的增加与股票基金的流出有关。此外，使用消费者财务调查的数据，我们发现模糊性的增加显著降低了普通家庭投资股票的可能性。
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.