Repurchase Options in the Market for Lemons.
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...
| Publicado en: | Review of Economic Studies Vol. 93; no. 4; pp. 2390 - 2424 |
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| Autores principales: | , |
| Formato: | Artículo |
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Oxford University Press / USA
Jul2026
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=195161449&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 195161449 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00346527 REM jtl: Review of Economic Studies issn: 00346527 maglogo: N pubinfo: dt: Jul2026 vid: 93 iid: 4 pid: 622 pub: Oxford University Press / USA artinfo: ui: 195161449 10.1093/restud/rdaf082 ppf: 2390 ppct: 34 formats: tig: atl: Repurchase Options in the Market for Lemons. aug: au: Bigio, Saki Shi, Liyan affil: Department of Economics, University of California, Los Angeles and NBER, USA Tepper School of Business, Carnegie Mellon University and CEPR, USA su: Repurchase agreements Adverse selection (Commerce) Market equilibrium Mortgage-backed securities Liquidity (Economics) sug: subj: Financial Transactions Processing, Reserve, and Clearinghouse Activities Central credit unions Repurchase agreements Adverse selection (Commerce) Market equilibrium Mortgage-backed securities Liquidity (Economics) keyword: Collateralized debt copyrightHolder:Review of Economic Studies Ltd copyrightYear:2026 inLanguage:en Optimal contracts Private information publisher:Oxford University Press Repurchase agreement sameAs:https://dx.doi.org/10.1093/restud/rdaf082 Collateralized debt copyrightHolder:Review of Economic Studies Ltd copyrightYear:2026 inLanguage:en Optimal contracts Private information publisher:Oxford University Press Repurchase agreement sameAs:https://dx.doi.org/10.1093/restud/rdaf082 ab: 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. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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