Portfolio sales and signaling

Bougheas, Spiros; Worrall, Tim

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.

Citation

Bougheas, S., & Worrall, T. (2019). Portfolio sales and signaling. Journal of Banking and Finance, 99, 182-191. https://doi.org/10.1016/j.jbankfin.2018.12.008

• Journal Article Type: Article
• Acceptance Date: Dec 12, 2018
• Online Publication Date: Dec 19, 2018
• Publication Date: Feb 28, 2019
• Deposit Date: Dec 14, 2018
• Publicly Available Date: Jun 20, 2020
• Journal: Journal of Banking & Finance
• Print ISSN: 0378-4266
• Electronic ISSN: 1872-6372
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 99
• Article Number: 182-191
• Pages: 182-191
• DOI: https://doi.org/10.1016/j.jbankfin.2018.12.008
• Keywords: Securitization; Signaling; Skin in the game
• Public URL: https://nottingham-repository.worktribe.com/output/1416021
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0378426618302772?via%3Dihub
• Additional Information: This article is maintained by: Elsevier; Article Title: Portfolio sales and signaling; Journal Title: Journal of Banking & Finance; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.jbankfin.2018.12.008; Content Type: article; Copyright: © 2018 Elsevier B.V. All rights reserved.