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Portfolio sales and signaling

Bougheas, Spiros; Worrall, Tim

Authors

Tim Worrall



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.

Journal Article Type Article
Publication Date Feb 28, 2019
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
APA6 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
DOI https://doi.org/10.1016/j.jbankfin.2018.12.008
Keywords Securitization; Signaling; Skin in the game
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.

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