Dynamic Asset-Backed Security Design
研究了借款人通过发行以长期抵押资产当期收益和转售价格为支持的证券来获取流动性，且借款人私下知晓收益分布。资产价格可自我实现，最优证券设计消除多重均衡、改善福利，并可作为回购合约实施。
Abstract Borrowers obtain liquidity by issuing securities backed by the current period payoff and resale price of a long-lived collateral asset, and they are privately informed about the payoff distribution. Asset price can be self-fulfilling: a higher asset price lowers adverse selection and allows borrowers to raise greater funding, which makes the asset more valuable, leading to multiple equilibria. Optimal security design eliminates multiple equilibria, improves welfare, and can be implemented as a repo contract. Persistent adverse selection lowers debt funding, generates volatility in asset prices, and exacerbates credit crunches. The theory demonstrates the role of asset-backed securities on stability of market-based financial systems.