We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These results replicate when using the dispersion of professional forecasters as a long-term measure of ambiguity and are robust when controlling for newspaper- or market-based ambiguity measures.

我们将波动性的时变总体模糊性 (V-VSTOXX) 与个人投资者交易联系起来。我们使用了 2010 年 3 月至 2015 年 12 月期间来自一家大型德国在线经纪公司的 100,000 多名个人投资者的交易记录。我们发现模糊性的增加与投资者活动的增加有关。它还导致风险承担的减少，这种情况在接下来的几天内不会逆转。模棱两可厌恶的投资者更容易受到模棱两可的冲击。当使用专业预测者的分散作为模糊度的长期测量时，这些结果可以复制，并且在控制基于报纸或市场的模糊度测量时是稳健的。