An experiment on the evaluation of information under risk and ambiguity

Assume a decision maker has a choice between several acts. Some of the alternatives are simple lotteries; others consist of gathering additional (costy) information on outcomes or probabilities of the available simple lotteries prior to making a binding choice between them. In this paper hypotheses are derived from the Choquet Expected Utility model about the relationship between the degree of ambiguity aversion and the willingness-to-pay for information revealing the outcome of simple two-state-lotteries. These hypotheses are tested experimentally. 157 students are asked to state their willingness-to-pay for information, revealing the true payment relevant state, before making choices between a certain amount of money and two-state-lotteries of varying degrees of ambiguity. In the experiment the pessimism predicted by the Choquet Expected Utility model is not observed empirically.