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https://openaccess.city.ac.uk/id/eprint/3276/1/Securitization%2C%20Transparency%20and%20Liquidity.pdf
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Journal article
Securitization, Transparency, and Liquidity
The Review of financial studies, v 25(8), pp 2417-2453
01 Aug 2012
Abstract
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.
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Details
- Title
- Securitization, Transparency, and Liquidity
- Creators
- Marco Pagano - University of Naples Federico IIPaolo Volpin - London Business Sch, London NW1 4SA, England
- Publication Details
- The Review of financial studies, v 25(8), pp 2417-2453
- Publisher
- Oxford Univ Press
- Number of pages
- 37
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000306645600003
- Scopus ID
- 2-s2.0-84864493209
- Other Identifier
- 991021861864504721
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics