TY  - UNPD
A1  - Kostopoulos, Dimitrios
A1  - Meyer, Steffen
A1  - Uhr, Charline
T1  - Ambiguity and investor behavior
T2  - SAFE working paper series ; No. 297
N2  - We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey evidence reveals that ambiguity averse investors are more prone to ambiguity shocks. Our results are robust to alternative survey-, newspaper- or market-based ambiguity measures.
T3  - SAFE working paper - 297 
KW  - ambiguity
KW  - uncertainty
KW  - individual investor
KW  - trading behavior
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/55282
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-552824
PB  - SAFE
CY  - Frankfurt am Main
ER  -