The Pooling and Tranching of Securities: A Model of Informed Intermediation
分析资产打包与分层对发行方和中介的影响，发现知情发行方单独出售资产更优，但通过分层可创造低风险高流动性证券；不知情卖方则偏好纯打包。这解释了金融中介的动态运作。
I show that when an issuer has superior information about the value of its assets, it is better off selling assets separately rather than as a pool due to the information destruction effect of pooling. If, however, the issuer can create a derivative security that is collateralized by the assets, pooling and "tranching" may be optimal. If the residual risk of each asset is not highly correlated, tranching allows the issuer to exploit the risk diversification effect of pooling to create a low-risk and highly liquid security. In contrast, for an uninformed seller, pure pooling reduces underpricing and is preferred to separate asset sales. These results lead to a dynamic model of financial intermediation: originators sell pools of assets, some of which are purchased by informed intermediaries who then further pool and tranche them. Pooling and tranching allow intermediaries to leverage their capital more efficiently, enhancing the returns to their private information. Copyright 2005, Oxford University Press.