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Portfolio sales and signaling

Spiros Bougheas () and Timothy Worrall ()

Journal of Banking & Finance, 2019, vol. 99, issue C, 182-191

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.

Keywords: Securitization; Signaling; Skin in the game (search for similar items in EconPapers)
JEL-codes: D82 G21 G23 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Portfolio Sales and Signaling (2017) Downloads
Working Paper: Portfolio Sales and Signaling (2017) Downloads
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Handle: RePEc:eee:jbfina:v:99:y:2019:i:c:p:182-191