compositions are identical. We identify choices that reveal an aversion to ambiguity about the relation between urns, thus … identifying a source of uncertainty different from the usual Knightian distinction between risk and ambiguity. Behavior is studied …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … returns, increase price volatility and induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover …

This paper considers learning when the distinction between risk and ambiguity (Knightian uncertainty) matters. Working … that cannot be captured by noisy signals. They induce nonmonotonic changes in agent confidence and prevent ambiguity from … participation costs that depend on past market performance. Hedging of ambiguity provides a new reason why the investment horizon …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover, shocks to information quality can have …

This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought …