The paper examines the role of soft and hard information in residential mortgage-backed security (RMBS) securitization using a model of issuer-investor bargaining. Although the use of soft information by the issuer generally results in an endogenous “lemons”problem or wasteful information acquisition, there exists an equilibrium region where the issuer does prefer to acquire soft information. This arises when the public signal is su¢ ciently but not too informative, the investor holds su¢ cientbargaining power, and the issuer’s costs of analyzing soft information and securitizing the asset are low. Thus, the collection of soft information as enforced by the Dodd-Frank Act, in addition to serving its intention of investor protection, can be compatible with the issuer’s bargaining incentives under certain market conditions.
Keywords loan screening, credit rating quality; endogenous lemons problem, over-the-counter trading
JEL Classi…cations: C78, D82, D83, G23
자료실
자료실
[2014년 제 4차] Bargaining with Soft and Hard Information: A Model
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2014-12-12