數量經濟與金融系列講座第293期:Asset bundles and information acquisition

Abstract: This paper investigates how a pro t-maximizing asset originator can coordinate the information acquisition of and interaction among investors with di erent expertise by means of asset bundling. Bundling is bene cial to the originator when it discourages investors from analyzing idiosyncratic risks and focuses their attention on aggregate risks. But it is optimal to sell aggregate risks separately in order to exploit investors' heterogeneous expertise in learning about them and thus lower the risk premium. This analysis rationalizes the common securitization practice of bundling loans by asset class, which is at odds with existing theories based on diversi cation. The analysis also o ers an alternative perspective on conglomerate formation (a form of asset bundling), and its relation to empirical evidence in that context is discussed.