Repurchase Options in the Market for Lemons
研究了竞争性资产市场中回购协议如何缓解逆向选择问题，发现单一回购合约能提高交易量，但贷款人竞争可能导致流动性供给不足。
Abstract We study repurchase options (repo contracts) in a competitive asset market with adverse selection. Gains from trade emerge from a liquidity need, but private information about asset quality prevents the full realization of trades. In equilibrium, a single repo contract pools all assets. The embedded repurchase option mitigates adverse selection by improving the volume of trades relative to outright sales. However, liquidity provision can be inefficiently low as lenders compete to attract high-quality assets via high haircuts and low rates. The equilibrium has a closed form and aligns well with empirical patterns across Mortgage-Backed Securities repos.