Bundlers' dilemmas in financial markets with sampling investors
研究了当投资者通过有限抽样评估资产池时，银行捆绑异质资产的激励，发现垄断银行仅在投资者资金充足时才有激励创造异质捆绑，而寡头银行即使资金不足也会选择极端异质捆绑，导致集体低效和福利损失。
We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing assuming that investors can neither borrow nor short‐sell. A monopolistic bank has the incentive to create heterogeneous bundles only when investors have enough money. When the number of banks is sufficiently large, oligopolistic banks choose extremely heterogeneous bundles, even when investors have little money and even if this turns out to be collectively detrimental to the banks. If, in addition, banks can originate low quality assets, even at a cost, this collective inefficiency is exacerbated and pure welfare losses arise. Robustness to the presence of rational investors and to the possibility of short‐selling is discussed.