We explore how information ambiguity and traders’ attitudes toward ambiguity affect expectations and asset prices under three different market institutions. Specifically, we test the prediction of Epstein and Schneider (2008) that information ambiguity will lead market prices to overreact to...

We implement a dynamic asset pricing experiment in the spirit of Lucas (1978) with storable assets and non-storable cash. In the first treatment, we impose diminishing marginal returns to cash to incentivize consumption smoothing across periods. We find that subjects use the asset to smooth...

We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...