Uncertainty is an inherent feature of decision-making in finance. In real world market settings, dividend processes as well as fundamental values are guided by vagueness; neither objective probabilities of realization returns are known for certain, nor is the actual amount of returns. Whereas classical risk and vague probabilities (“classical” ambiguity) have been widely analyzed in different contexts, vague outcome realizations have gotten surprisingly little attention so far. We add to the existing literature in two ways. First, we are able to relate individual attitudes towards risk and vagueness to actual trading behavior in markets and market outcomes. Second, we are able to identify the effects of different types of vagueness on market outcomes, in particular by including the novel influence of vagueness in outcome realizations. We conduct a large-scale laboratory experiment with 320 subjects. On average, we neither find a significant risk premium, nor a significant premium for vagueness in probabilities, outcomes, as well as the combination of both types of vagueness in neither the individual task nor the market experiment. Testing whether a theoretical prediction based on general equilibrium theory holds in our market experiment, we find that the difference is not significantly different to zero, which leads to markets actually behaving close to and indistinguishable from general equilibrium predictions.