Financial markets are complicated and uncertain, especially after the recent crisis. Traditional theories don't fully explain how investors behave. This study looks at how uncertainty and different beliefs affect asset prices. They found that when investors are unsure about risks, it can lead to market instability and price deviations from true values. By considering these factors, the researchers developed new models that show how ambiguity and heterogeneity among investors can impact market liquidity and volatility. This helps us understand why markets sometimes behave in unexpected ways.