We investigate the significance of uncertainty about the return distribution (distribution 
   uncertainty) in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution
   uncertainty measure the difference of empirical distributions between an individual stock return
   and the market return. We find that stocks with higher distribution uncertainty exhibit higher
   returns on average, and the difference between returns on the portfolios with the highest and      
   lowest distribution uncertainty is significantly positive. Moreover, the results from firm-level
   cross-sectional regressions show strong corroborating evidence for an economically and
   statistically significant positive relation between the degree of distribution uncertainty and the
   expected stock returns. This positive distribution uncertainty effect is persistent after controlling
   for size, book-to-market, momentum, short-term reversals, liquidity, idiosyncratic volatility,
   skewness, kurtosis, and maximum return. This paper is suggesting the interpretation of the
   degree of distribution uncertainty as an ambiguity since there is a positive relation between
   distribution uncertainty and expected stock return as most theories about ambiguity suggest,
   whereas almost none of the empirical studies verify such a relation.