The new research from University of Toronto, the scientists examined whether people reacted more strongly to negative or to uncertain feedback.
The team involving Jacob Hirsh and Michael Inzlicht measured the brain activity of the participants as they completed a series of tasks and were given clear positive, clear negative or ambiguous feedback.
They looked at the response of the anterior cingulate cortex, a brain area associated with error-monitoring and conflict-related anxiety.
The analysis showed that individuals with high levels of neuroticism, a personality trait related to negative emotion and anxiety, showed stronger responses in this brain region when they were given uncertain feedback, compared to when they were given unambiguous negative feedback.
"Uncertainty can be very stressful," said Hirsh, a PhD student and lead author on the paper.
"What this study shows is that neurotic individuals are actually more comfortable with clear negative information than they are with uncertainty - even when the outcome of that uncertainty could be positive.
"In other words, people who are high in neuroticism appear to prefer the devil they know over the devil they don't know," they added.
The study is published in Psychological Science.