This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought … experiments, dynamic variants of those provided by Ellsberg, that highlight a sense in which the Bayesian learning model is …

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 …

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 …

misspecified models. Under model misspecification, standard Bayesian learning loses its formal justification and biased learning … processes may provide a selection advantage. However, considering two cases of model misspecification and four learning … processes, our analysis reveals a general difficulty in ranking learning behaviors with respect to their long-run performances …

-reaction occurs, thus rational agents may strategically want to bias their learning process. Our analysis points out that the …

agent they consider is characterized by an imperfect learning model. An interesting question that emerges is if, and to what …

agent they consider is characterized by an imperfect learning model. An interesting question that emerges is if, and to what …

-reaction occurs, thus rational agents may strategically want to bias their learning process. Our analysis points out that the …