首都金融论坛第58期：Correlation Ambiguity, Listing Choice, and Market Microstructure
地 点： 明辨楼402教室
This paper investigates the implication of correlation ambiguity for investor behavior to asset pricing and issuers' listing choices. We introduce two markets to the multi-asset model: Market A with low and Market B with high perceived ambiguity. Each firm can only choose one to list its stocks. Due to ambiguity aversion, naive investor's demand function demonstrates piecewise linear. Such traders' behavior may lead to different equilibrium types, and hence different equilibrium prices for each listing choice outcome. Rational managers of the issuing firms will make their optimal listing choices depending on the equilibrium prices on the market. We show that a crafted design of specific features of the microstructure, such as listing standard and disclosure requirements, can effectively reduce the perceived ambiguity, and induce naive investors' participation to improve market liquidity, maintain greater volume and lower the cost of capital.