Portfolio Liquidity and Security Design with Private Information
研究了知情卖方为筹集现金而清算投资组合时，资产流动性如何受其出售对整个组合价值的影响，并证明了流动性“啄食顺序”的存在，以及最优证券设计是发行由资产池担保的优先层或债务。
Abstract A privately informed seller seeks to liquidate a portfolio to raise cash. Each asset’s liquidity thus depends on the impact of its sale on the value of the entire portfolio. We demonstrate the importance of cross-signaling and derive sufficient conditions for a liquidity “pecking order” that determines the order of sale. For assets backed by a common pool, liquidity naturally aligns with seniority. Finally, we extend the portfolio liquidation game to consider security design and demonstrate the optimality of pooling securities and selling senior tranches or debt secured by the pool, with retention increasing in asset quality or informational asymmetry.