Ambiguity and investor behavior

Dimitrios Kostopoulos, Steffen Meyer and Charline Uhr

No 297, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: 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.

Keywords: ambiguity; uncertainty; individual investor; risk-taking; trading behavior (search for similar items in EconPapers)
JEL-codes: D10 D81 D90 G11 G40 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-cwa, nep-mst and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/227742/1/1743281978.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:297

DOI: 10.2139/ssrn.3340851

Access Statistics for this paper

More papers in SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().