A Note on Skewness Seeking: An Experimental Analysis

Tobias Broenner, René Levínský () and Jianying Qiu
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Tobias Broenner: Institut zur Erforschung der wirtschaftlichen Entwicklung, Albert-Ludwigs-Universitaet Freiburg

No 2007-079, Jena Economic Research Papers from Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics

Abstract: In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We ï¬nd that the skewness of a distribution has a signiï¬cant impact on the decisions. Yet, while skewness has an impact, its direction differs substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to avoid skewness. On the level of individual decisions we ï¬nd that the variance of the prospects and subjects’ experience increase the probability of their choosing the lottery with greater skewness.

Keywords: Skewness; Stochastic dominance; Decision making under uncertainty (search for similar items in EconPapers)
JEL-codes: D81 C91 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cbe and nep-exp
Date: 2007-11-01
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Persistent link: http://EconPapers.repec.org/RePEc:jrp:jrpwrp:2007-079

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