Informational Efficiency in Securitization after Dodd-Frank
分析了多德-弗兰克法案强制风险留存如何影响投资者从CMBS市场发行人留存选择中提取信息，发现留存结构可传递信号，且危机后信息不对称水平较低。
Abstract We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers’ retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A stated concern of rulemakers is asymmetric information. However, we show that, post-crisis, the level of asymmetric information in this market is quite low.