Portfolio sales and signaling

Spiros Bougheas, Timothy Worrall

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

This paper extends the DeMarzo and Duffie (1999) signaling model from single sales to portfolio sales. It shows that the extended model can account for retention of low quality assets and help explain why retained assets may be of varying quality.
Original languageEnglish
Pages (from-to)182-191
Number of pages10
JournalJournal of Banking and Finance
Early online date19 Dec 2018
Publication statusPublished - Feb 2019

Keywords / Materials (for Non-textual outputs)

  • securitization
  • tranching
  • signaling
  • skin in the game


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