We propose an equilibrium asset pricing model in which agents learn about the parame- ters that drive economic fundamentals and differ in their aversion to ambiguity. We first show that, when agents are averse to parameter uncertainty, learning about the volatility of fundamentals has a first-order effect on portfolio flows: ambiguity-averse agents increase their risky asset holdings in periods of high uncertainty, despite holding conservative port- folios. We then show that subjective risk premia increase following both unexpected good and bad news. These predictions are consistent with observed portfolio flows of retail and institutional investors around dividend surprises. Our model highlights that heterogeneity of preferences and learning about volatility of fundamentals are key channels for understand- ing the equilibrium dynamics of portfolio holdings and risk premia following news about economic outcomes.