Artikel
Bundlers' dilemmas in financial markets with sampling investors
We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing assuming that investors cannot borrow nor short-sell. A monopolistic bank has the incentive to create heterogeneous bundles only when investors have enough money. When the number of banks is sufficiently large, oligopolistic banks choose extremely heterogeneous bundles, even when investors have little money and even if this turns out to be collectively detrimental to the banks. If in addition banks can originate low quality assets, even at a cost, this collective inefficiency is exacerbated and pure welfare losses arise. Robustness to the presence of rational investors and to the possibility of short-selling is discussed.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 15 ; Year: 2020 ; Issue: 2 ; Pages: 545-582 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Noncooperative Games
General Equilibrium and Disequilibrium: Financial Markets
Information and Market Efficiency; Event Studies; Insider Trading
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
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Complex financial products
bounded rationality
disagreement
market efficiency
sampling
- Ereignis
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Geistige Schöpfung
- (wer)
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Bianchi, Milo
Jehiel, Philippe
- Ereignis
-
Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2020
- DOI
-
doi:10.3982/TE3726
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bianchi, Milo
- Jehiel, Philippe
- The Econometric Society
Entstanden
- 2020
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