This paper studies the causal eﬀect of uncertainty on asset prices in the laboratory, using a new design that incorporates many characteristics of the real world. In the ﬁrst treatment, the risk treatment, cash ﬂows to equity follow a known random distribution. In the second, the uncertainty treatment, human managers make production decisions which renders future cash ﬂows uncertain. We ﬁnd that shareholders require a higher equity premium under the uncertainty treat- ment than under the risk treatment. Asset prices are also more volatile in the Uncertainty treatment. These ﬁndings are in line with a stylized model where un- certainty about cash ﬂow’s variance make assets appear subjectively riskier than they are, and where learning generates time-varying expected returns. Joint with Reinhard Selten and Julien Penasse.