He, Junyong; Huang, Hui; Zhang, Shunming - In: Journal of management science and engineering 7 (2022) 1, pp. 67-97
This paper investigates the implication of correlation ambiguity to investor behavior, asset pricing and issuers' listing choices from a market microstructure perspective. We introduce two markets to a multi-asset model: Market A is transparent and Market B is opaque, or Market A with low and...