Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Asymmetric information 

Working Paper
Post-crisis Signals in Securitization: Evidence from Auto ABS

We find significant evidence of asymmetric information and signaling in post-crisis offerings in the auto asset-backed securities (ABS) market. Using granular regulatory reporting data, we are able to directly measure private information and quantify its effect on signaling and pricing. We show that lenders "self-finance'' unobservably higher-quality loans by holding these loans for longer periods to signal private information. This signal is priced in initial offerings of auto ABS and accurately predicts ex-post loan performance. We also demonstrate that our results are robust to exogenous ...
Finance and Economics Discussion Series , Paper 2020-042

Working Paper
Employment Dynamics in a Signaling Model with Workers' Incentives

Many firms adjust employment in a "lumpy" manner -- infrequently and in large bursts. In this paper, I show that lumpy adjustments can arise from concerns about the incentives of remaining workers. Specifically, I develop a model in which a firm's productivity depends on its workers' effort and workers' income prospects depend on the firm's profitability. I use this model to analyze the consequences of demand shocks that are observed by the firm but not by its workers, who can only try to infer the firm's profitability from its employment decisions. I show that the resulting signaling model ...
Finance and Economics Discussion Series , Paper 2017-040

Working Paper
Variance Disparity and Market Frictions

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that the segmentation is associated with frictions such as funding illiquidity, market illiquidity, and asymmetric information. When they are segmented, VIX derivatives contribute more to the variance discovery process than SPX options. These findings imply that VIX derivatives would offer a better estimate ...
Finance and Economics Discussion Series , Paper 2019-059

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

D82 2 items

G14 2 items

G01 1 items

G13 1 items

G23 1 items

J21 1 items

show more (3)

FILTER BY Keywords

PREVIOUS / NEXT