To pool or not to pool? Security design in OTC markets

• 成果类型: Article
• 署名作者: Glode, Vincent; Opp, Christian C.; Sverchkov, Ruslan
• 署名单位: University of Pennsylvania; University of Rochester; National Bureau of Economic Research; University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.09.021
• 发表日期: 2022
• 页码: 508-526
• 关键词: Pooling; adverse selection; imperfect competition; decentralized markets

摘要

We study security issuers' decisions on whether to pool assets when facing counter-parties endowed with market power, as is common in over-the-counter markets. Our analysis reveals how buyers' market power may render the pooling of assets suboptimal - both privately and socially - in particular, when the potential gains from trade are large. Pooling assets then reduces the elasticity of trade volume in the relevant part of the payoff distribution, exacerbating the inefficient rationing associated with the exercise of buyers' market power. Our analysis provides insight on the determinants of asset-backed securities issuance, including regulatory reforms affecting financial institutions' liquidity. (C) 2021 Elsevier B.V. All rights reserved.