  We conduct an incentivized experiment on a nationally representative US
sample \\ (N=708) to test whether people prefer to avoid ambiguity even when it
means choosing dominated options. In contrast to the literature, we find that
55\% of subjects prefer a risky act to an ambiguous act that always provides a
larger probability of winning. Our experimental design shows that such a
preference is not mainly due to a lack of understanding. We conclude that
subjects avoid ambiguity \textit{per se} rather than avoiding ambiguity because
it may yield a worse outcome. Such behavior cannot be reconciled with existing
models of ambiguity aversion in a straightforward manner.
