We empirically examine the relation between risk, ambiguity, and market equity premium in 21 international stock markets. After estimating each country's degree of ambiguity from intraday data of iShares country ETFs (exchange-traded funds), we find a positive risk-return tradeoff. Investors' attitudes toward ambiguity is conditional on their expectations of probability of gains, but its relationship is nonlinear. This nonlinearity in ambiguity premium is more prominent in emerging markets. Additionally, we conduct a cross-country analysis, which shows that cross-country variations in cultural and institutional factors affect investors' behavior. Our international evidence supports that ambiguity alongside risk are the key determinants of investors' decision-making.

我们实证检验了 21 个国际股票市场中风险、模糊性和市场股权溢价之间的关系。在根据 iShares 国家 ETF（交易所交易基金）的日内数据估计每个国家/地区的模糊程度后，我们发现了正的风险回报权衡。投资者对模糊性的态度取决于他们对收益概率的预期，但其关系是非线性的。这种模糊溢价的非线性在新兴市场更为突出。此外，我们进行了一项跨国分析，表明文化和制度因素的跨国差异会影响投资者的行为。我们的国际证据支持模糊性和风险是投资者决策的关键决定因素。