Securitization, Transparency, and Liquidity

• 成果类型: Article
• 署名作者: Pagano, Marco; Volpin, Paolo
• 署名单位: University of London; London Business School; University of Naples Federico II
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs074
• 发表日期: 2012
• 页码: 2417
• 关键词: market liquidity; security design; INFORMATION; Intermediaries; disclosure; ECONOMICS; earnings; issues; COSTS; BANK

摘要

We present a model in which issuers of asset-backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We show that various types of public intervention (mandatory transparency standards, provision of liquidity to distressed banks, or secondary market price support) have quite different welfare implications. Finally, we extend the model by endogenizing the private and social value of liquidity and the proportion of sophisticated investors.