Portfolio Liquidity and Security Design with Private Information

• 成果类型: Article
• 署名作者: DeMarzo, Peter M.; Frankel, David M.; Jin, Yu
• 署名单位: Stanford University; Shanghai University of Finance & Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa147
• 发表日期: 2021
• 页码: 5841
• 关键词: model

摘要

A privately informed seller seeks to liquidate a portfolio to raise cash. Each asset's liquidity thus depends on the impact of its sale on the value of the entire portfolio. We demonstrate the importance of cross-signaling and derive sufficient conditions for a liquidity pecking order that determines the order of sale. For assets backed by a common pool, liquidity naturally aligns with seniority. Finally, we extend the portfolio liquidation game to consider security design and demonstrate the optimality of pooling securities and selling senior tranches or debt secured by the pool, with retention increasing in asset quality or informational asymmetry.