Econ Papers Daily / 期刊论文
异质信念下的资产价值与证券化
Asset value and securitization under heterogeneous beliefs
摘要
This paper studies how securitization affects asset prices and realized excess payoffs when investors hold heterogeneous beliefs. I extend the resale-option asset-pricing model of Harrison and Kreps (1978) by allowing the owner of a long-term asset to issue a finite set of asset-backed securities backed by its future cash flow. These securities are organized into tranches with different payment priorities. The no-tranching benchmark has a unique equilibrium price, but tranching can generate multiple equilibrium prices because separately priced tranches feed back into the asset’s resale value. Securitization weakly raises the equilibrium prices of the underlying asset relative to the no-tranching benchmark. Furthermore, there exists a tranching that raises the lowest equilibrium price strictly above its no-tranching level if and only if, at some state, no agent perceives a distribution of the next-period asset price in the no-tranching benchmark that first-order stochastically dominates the distributions perceived by all other agents. Tranching has ambiguous effects on individual realized excess payoffs, but the aggregate realized excess payoff is nonpositive and weakly decreases as the tranching is refined. When one agent has the finest information partition, securitization may lower some agents’ realized excess payoffs without raising anyone else’s. The results characterize how belief disagreement shapes the effect of security design on asset prices and realized payoffs.
中文摘要
本文研究在投资者持有异质信念时，证券化如何影响资产价格和已实现超额收益。我扩展了Harrison和Kreps（1978）的转售期权资产定价模型，允许长期资产的所有者发行一组由其未来现金流支持的有限资产支持证券。这些证券被组织成具有不同支付优先级的档级。无分档基准具有唯一的均衡价格，但分档可能产生多个均衡价格，因为分别定价的各档会反馈到资产的转售价值中。相对于无分档基准，证券化 weakly 提高了标的资产的均衡价格。此外，存在一种分档，使得最低均衡价格严格高于其无分档水平，当且仅当在某个状态下，没有任何主体在无分档基准中所感知的下一期资产价格分布一阶随机占优于所有其他主体所感知的分布。分档对个体已实现超额收益的影响不明确，但总已实现超额收益为非正，并随着分档的细化而 weakly 下降。当一个主体拥有最细的信息划分时，证券化可能降低某些主体的已实现超额收益，而不提高任何其他人的已实现超额收益。这些结果刻画了信念分歧如何塑造证券设计对资产价格和已实现收益的影响。