We study a model of non-Bayesian updating, based on the Hypothesis Testing model of Ortoleva (2012), for ambiguity averse agents. Agents ranks acts following the MaxMin Expected Utility model of Gilboa and Schmeidler (1989) and when they receive new information they update their set of priors as follows: If the information is such that all priors in the original set of priors assign to it a pro...

Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesize that analyst forecasts for smaller companies are relatively more ambiguous; hence they are priced pessimistically by ambiguity-averse investors. As the quarter comes to a close and ambig...

Abstract We conduct a bibliometric analysis and review the literature of last six decades on ambiguity aversion. Comparing trends in theoretical, experimental, empirical contributions, our study presents main aspects that are discussed this literature. show increasing relevance aversion for decision-making research discuss factors influencing attitudes ambiguity. Our reveals unsolved problems g...

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff et al. (2005) and the twostage randomization approach à la Seo (2009). We characterize risk attitude and ...

Risk and ambiguity are two conditions in which the consequences of possible outcomes are not certain. Under risk, the probabilities of different outcomes can be estimated, whereas under ambiguity, even these probabilities are not known. Although most people exhibit at least some aversion to both risk and ambiguity, the degree of these aversions is largely uncorrelated across subjects, suggestin...

Risk and ambiguity are two conditions in which the consequences of possible outcomes are not certain. Under risk the probabilities of different outcomes can be estimated, while under ambiguity even these probabilities are not known. Although most people exhibit at least some aversion to both risk and ambiguity, the degree of these aversions is largely uncorrelated across subjects, suggesting th...

Decision under ambiguity (uncertainty with unknown probabilities) has been attracting attention in behavioral and neuroeconomics. However, recent neuroimaging studies have mainly focused on gain domains while little attention has been paid to the magnitudes of outcomes. In this study, we examined the effects of the sign (i.e., gain and loss) and magnitude of outcomes on ambiguity aversion and t...