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A Note on Skewness Seeking: An Experimental Analysis

Author

Listed:
  • Tobias Broenner

    (Institut zur Erforschung der wirtschaftlichen Entwicklung, Albert-Ludwigs-Universitaet Freiburg)

  • Rene Levinsky

    (Max Planck Institute of Economics, Jena)

  • Jianying Qiu

    (Max Planck Institute of Economics, Jena)

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.

Suggested Citation

  • Tobias Broenner & Rene Levinsky & Jianying Qiu, 2007. "A Note on Skewness Seeking: An Experimental Analysis," Jena Economics Research Papers 2007-079, Friedrich-Schiller-University Jena.
    • Handle: RePEc:jrp:jrpwrp:2007-079
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    File URL: https://oweb.b67.uni-jena.de/Papers/jerp2007/wp_2007_079.pdf
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    Citations

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    Cited by:

    1. Dennis Vrecko & Thomas Langer, 2013. "What Are Investors Willing to Pay to Customize Their Investment Product?," Management Science, INFORMS, vol. 59(8), pages 1855-1870, August.
    2. Luís Santos-Pinto & Adrian Bruhin & José Mata & Thomas Åstebro, 2015. "Detecting heterogeneous risk attitudes with mixed gambles," Theory and Decision, Springer, vol. 79(4), pages 573-600, December.
    3. Dennis Vrecko & Alexander Klos & Thomas Langer, 2009. "Impact of Presentation Format and Self-Reported Risk Aversion on Revealed Skewness Preferences," Decision Analysis, INFORMS, vol. 6(2), pages 57-74, June.

    More about this item

    Keywords

    Skewness; Stochastic dominance; Decision making under uncertainty;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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