Gender differences in attitudes towards risk and ambiguity: when psycho-physiological measurements contradict sex-based stereotypes

ABSTRACT: This paper investigates gender differences in behaviour under uncertainty, as this personal condition influences entrepreneurship. We explore risk taking attitude and ambiguity aversion used in economic decisions on a sample of 645 individuals. We collect objective measurements of risk/ambiguity aversion from a psycho-physiological task, and we gather self-assessments of individual risk tolerance from a verbatim questionnaire. Our findings show no statistical gender difference when risk/ambiguity attitudes originate from the psycho-physiological task. Conversely, self-evaluated risk tolerance indicates that women define themselves as risk averse, whereas men define themselves as risk lovers. These differences are statistically significant and persist in a multivariate framework, excluding an indirect effect due to education, self-esteem, wealth, impulsivity, and other controls. This supports the concept that self-assessed risk attitude originates from an overall (wrong) social construct. Women evaluate themselves coherently with this sex-based stereotype and end up reinforcing the social idea of their inferior attitude to assume risks.