EconPapers    
Economics at your fingertips  
 

Securitization, Transparency and Liquidity

Marco Pagano () and Paolo Volpin

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We analyze various types of public intervention — mandatory transparency standards, provision of liquidity to distressed banks or secondary market price support — and find that they have quite different welfare implications. Finally, transparency is greater if issuers restrain the issue size, or tranche it so as to sell the more information-sensitive tranche to sophisticated investors only.

Keywords: securitization; transparency; liquidity; rating; subprime; crisis; default (search for similar items in EconPapers)
JEL-codes: D82 G21 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ure
Date: 2008-12-03, Revised 2010-07-31
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in the Review of Financial Studies, vol. 25, n. 8, 2012

Downloads: (external link)
http://www.csef.it/WP/wp210.pdf (application/pdf)

Related works:
Journal Article: Securitization, Transparency, and Liquidity (2012) Downloads
Working Paper: Securitization, Transparency and Liquidity (2012) Downloads
Working Paper: Securitization, Transparency and Liquidity (2008) Downloads
Working Paper: Securitization, Transparency and Liquidity (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sef:csefwp:210

Access Statistics for this paper

More papers in CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Contact information at EDIRC.
Bibliographic data for series maintained by Lia Ambrosio ().

 
Page updated 2019-11-14
Handle: RePEc:sef:csefwp:210