Is learning a dimension of risk?

We empirically assess how the uncertainty induced by investors' learning about the fundamentals affects stock returns. We identify two components of induced uncertainty: learning uncertainty and dispersion of beliefs. We characterize these in terms of their relationship to uncertainty about the fundamentals as estimated by surveys of economic forecasters and to measures of uncertainty embedded in derivative markets (open interest and implied volatility). We show that both learning uncertainty and dispersion of beliefs are conditionally priced.