Text is inherently ambiguous. Yet investors read textual news as the primary source of financial information from the financial news and social media. I used Natural Language Processing on social and financial media text to construct a natural event and Big Data ambiguity measurement. The ambiguity measurement is derived from a mixture of distributions model that distinguishes from disagreement between the two sources. A binomial model based on smooth ambiguity preferences is then proposed that explains salient points of ambiguity on asset pricing in empirical testsin this paper and in Brenner and Izhakian (2018). The paper finds that the financial news media have a bigger influence on asset prices than social media except duringthe last recession from Jun 2009 to Nov 2016. The paper provides a market-wide and natural event evidence of agents' maxmin utility optimisation behavior in Gilboa and Schmeidler (1989
