Bundlers' dilemmas in financial markets with sampling investors

Autor: Philippe Jehiel, Milo Bianchi
Přispěvatelé: Toulouse School of Economics (TSE), Université Toulouse 1 Capitole (UT1)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Paris Jourdan Sciences Economiques (PJSE), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), ANR-17-EURE-0010,CHESS,Toulouse Graduate School défis en économie et sciences sociales quantitatives(2017), Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE)
Jazyk: angličtina
Rok vydání: 2020
Předmět:
sampling
Market efficiency
Pooling
JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets
bounded rationality
Monetary economics
Oligopoly
C72
Monopolistic competition
JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages
Disagreement
0502 economics and business
ddc:330
Complex financial products
050207 economics
Robustness (economics)
Sampling
D53
B- ECONOMIE ET FINANCE
050208 finance
G14
Market clearing
Complex financial products
market efficiency
05 social sciences
Financial market
Bounded rationality
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
disagreement
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading
Incentive
JEL: C - Mathematical and Quantitative Methods/C.C7 - Game Theory and Bargaining Theory/C.C7.C72 - Noncooperative Games
G21
Business
Inefficiency
General Economics
Econometrics and Finance
Zdroj: Theoretical Economics
Theoretical Economics, Econometric Society, 2020, 15 (2), pp.545-582. ⟨10.3982/TE3726⟩
Theoretical Economics, Econometric Society, 2020, vol. 15 (2), pp.545-582. ⟨10.3982/TE3726⟩
ISSN: 1555-7561
DOI: 10.3982/TE3726⟩
Popis: International audience; 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 can neither 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.
Databáze: OpenAIRE
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