| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8336 |
| DP8336 Security Design: Signaling versus Speculative Markets | |
| Gilles Chemla; Christopher Hennessy | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We determine optimal security design and retention of asset-backed securities by a privately informed issuer with positive NPV uses for immediate cash. In canonical models, investors revert to prior beliefs if issuers pool at zero-retentions (originate-to-distribute), and separating equilibria are welfare-dominated since separation entails signaling via asset-retention and underinvestment. However, we show speculative markets arise if and only if issuers pool, creating previously overlooked costs. Pooling induces socially costly information acquisition by speculators. Further, in pooling equilibria, issuers never sell safe claims, leaving uninformed investors exposed to adverse selection and distorting risk sharing. In such equilibria, issuers retain zero interest in the asset, and speculator effort is maximized by splitting cash flow into a risky senior ("debt") tranche and residual junior ("equity") claim. Optimal leverage trades off per-unit speculator gains against endogenous declines in uninformed debt trading. Issuer incentives to implement the pooling equilibrium, with distorted risk sharing, are strong precisely when efficient risk sharing, achieved through separation, has high social value. In such cases, a tax on issuer proceeds can raise welfare by encouraging issuer retentions. Taxation dominates mandatory skin-in-the-game as a policy response, since the latter creates gratuitous underinvestment. |
| 主题 | Financial Economics |
| 关键词 | Security design Issuer Type Pooling Separating Speculator |
| URL | https://cepr.org/publications/dp8336 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537163 |
| 推荐引用方式 GB/T 7714 | Gilles Chemla,Christopher Hennessy. DP8336 Security Design: Signaling versus Speculative Markets. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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