Bundlers' dilemmas in financial markets with sampling investors

• 成果类型: Article
• 署名作者: Bianchi, Milo; Jehiel, Philippe
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Paris School of Economics; University of London; University College London
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE3726
• 发表日期: 2020-05-01
• 页码: 545-582
• 关键词: Complex financial products; bounded rationality; DISAGREEMENT; market efficiency; sampling; C72; D53; G14; G21

摘要

We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing assuming that investors can neither borrow nor short-sell. A monopolistic bank has the incentive to create heterogeneous bundles only when investors have enough money. When the number of banks is sufficiently large, oligopolistic banks choose extremely heterogeneous bundles, even when investors have little money and even if this turns out to be collectively detrimental to the banks. If, in addition, banks can originate low quality assets, even at a cost, this collective inefficiency is exacerbated and pure welfare losses arise. Robustness to the presence of rational investors and to the possibility of short-selling is discussed.