Does ambiguity aversion survive in experimental asset markets?

Contains fulltext : 133659.pdf (publisher's version ) (Closed access) Contains fulltext : 133659-a.pdf (author's version ) (Open Access)Although a number of theoretical studies explain empirical puzzles in finance with ambi-guity aversion, it is not a given that individual ambiguity attitudes survive in markets. Infact, despite ample evidence of ambiguity aversion in individual decision making, moststudies find no or only limited ambiguity aversion in experimental financial markets, evenwhen they exclude arbitrage. We argue that ambiguity effects in markets depend on mar-ket feedback and on a sufficiently strong bias toward ambiguity among the participants.Accordingly, we find significant ambiguity effects in low-feedback call markets for assetsthat provoke high ambiguity aversion, but no ambiguity effects in high-feedback doubleauctions.28 maart 201