Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data

► We measure ambiguity aversion in a large survey in 45 countries. ► Ambiguity aversion is strongly correlated with the equity risk premium. ► This gives empirical evidence to theoretical models of the equity premium puzzle. ► Ambiguity aversion itself is connected to the “Uncertainty Avoidance Index”. ► Cultural factors seem to contribute to the size of the equity premium.