Dimmick, Stephen GKouwenberg, RoyMitchell, Olivia SPeijnenburg, Kim2023-05-232023-05-232015-03-012019-06-27https://repository.upenn.edu/handle/20.500.14332/43570We test the relation between ambiguity aversion and five household portfolio choice puzzles: non-participation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks.The content is solely the responsibility of the authors and does not necessarily represent the official views of the National Institute of Aging, the National Institutes of Health, or any of the other institutions providing funding for this study or with which the authors are affiliated.Ambiguity aversionstock market participationhousehold portfolio puzzleshome-biasown-company stock puzzleportfolio under-diversificationhousehold finance.EconomicsWorking Paper