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Portfolio sales and signaling

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Original languageEnglish
Pages (from-to)182-191
Number of pages10
JournalJournal of Banking & Finance
Early online date19 Dec 2018
Publication statusPublished - Feb 2019


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.

    Research areas

  • securitization, tranching, signaling, skin in the game

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