Source-dependent ambiguity attitudes on financial markets (with Saeed Badri and Bertrand Tavin)

Classical finance assumes investors assess all uncertainties neutrally across markets, but real-world behavior often deviates due to market segmentation. This paper develops a model of a boundedly rational investor, combining narrow bracketing and Source Theory (ST), which posits that investors respond to uncertainties differently depending on their source. We empirically estimate recently introduced pmatchers, enabling direct comparisons of ambiguity attitudes across markets relative to a benchmark. Our results reveal significant heterogeneity in ambiguity aversion across asset classes, offering new insights into boundedly rational investment behavior and market segmentation.