Informational Efficiency in Securitization after Dodd-Frank

• 成果类型: Article
• 署名作者: Flynn, Sean J., Jr.; Ghent, Andra C.; Tchistyi, Alexei
• 署名单位: Colorado State University System; Colorado State University Fort Collins; University of North Carolina; University of North Carolina Chapel Hill; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa003
• 发表日期: 2020
• 页码: 5131
• 关键词: model; incentives

摘要

We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers' retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A stated concern of rulemakers is asymmetric information. However, we show that, post-crisis, the level of asymmetric information in this market is quite low.