Eliciting subjective probability distributions with binary lotteries

•We study belief elicitation over continuous events using scoring rules with incentives.•Theory predicts that reported beliefs are minimally distorted by risk attitudes.•We elicit beliefs in an experiment with a binary lottery procedure to induce risk neutrality.•And we compare them against beliefs elicited with direct monetary payoffs.•We find insignificant distortions of belief elicitation coming from risk attitudes.

We test in a laboratory experiment the theoretical prediction that risk attitudes have a surprisingly small role in distorting reports from true belief distributions. We find evidence consistent with theory in our experiment.