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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
Volume99
Early online date19 Dec 2018
DOIs
Publication statusE-pub ahead of print - 19 Dec 2018

Abstract

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

ID: 77844096