We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …

intermediaries to lower expected returns and non-fundamental price fluctuations. In anticipation, risk-averse intermediaries trade … time-variation in the risk premium, Sharpe ratio and volatility even when risk aversion and the variance of fundamental … of fundamentals, the mechanism highlighted suggests fluctuations in the risk premium can be sub-optimal to the extent …

releases. This effect is stronger when the aggregate market uncertainty is high and when earnings announcements carry more …

announcements do little to resolve that uncertainty. We provide evidence consistent with the latter explanation. We develop two … earnings announcements as a whole …