|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|114070||2017||47 صفحه PDF||سفارش دهید||35703 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Financial Markets, Volume 32, January 2017, Pages 97-143
In this paper, we investigate the implications of correlation ambiguity for investor behaviors and asset prices. In our model, individuals' decision making incorporates both risk and ambiguity, and we demonstrate that limited participation arises from the rational decision by naÃ¯ve investors to avoid correlation ambiguity. In equilibrium, the asset with lower quality generates positive excess returns. Comparative static analysis of the equilibrium result suggests that changes in the fraction of naÃ¯ve investors and ambiguity level can alter equilibrium types and flight to quality phenomenon is observed. However, their impacts on asset prices are non-monotonic.