| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12596 |
| DP12596 Disagreement and Security Design | |
| Martin Schmalz | |
| 发表日期 | 2018-01-15 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study optimal security design when the issuer and market participants agree to disagree about the characteristics of the asset to be securitized. We show that pooling assets can be optimal because it mitigates the effects of disagreement between issuer and investors, whereas tranching a cash-flow stream allows the issuer to exploit disagreement between investors. Interestingly, pooling and tranching can be complements. The optimality of debt with or without call provisions can be derived as a special case. In a model with multiple financing rounds, convertible securities naturally emerge to finance highly skewed ventures. |
| 主题 | Financial Economics |
| 关键词 | Disagreement Security design Optimism Overconfidence Pooling Tranching Behavioral finance |
| URL | https://cepr.org/publications/dp12596 |
| 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/541407 |
| 推荐引用方式 GB/T 7714 | Martin Schmalz. DP12596 Disagreement and Security Design. 2018. |
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