Skin in the Game and Moral Hazard

• 成果类型: Article
• 署名作者: Chemla, Gilles; Hennessy, Christopher A.
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Center for Economic & Policy Research (CEPR); University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12161
• 发表日期: 2014
• 页码: 1597-1641
• 关键词: LOAN SALES; incentives; liquidity; default

摘要

What determines securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase expected asset quality, subsequently having private information regarding quality when selling ABS to rational investors. Absent regulation, originators may signal positive information via junior retentions or commonly adopt low retentions if funding value and price informativeness are high. Effort incentives are below first-best absent regulation. Optimal regulation promoting originator effort entails a menu of junior retentions or one junior retention with size decreasing in price informativeness. Zero retentions and opacity are optimal among regulations inducing zero effort.