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Applied Economics Volume 48, 2016 - Issue 38
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Original Articles

Investors’ heterogeneity and tranching

Frank Yong WangDepartment of Finance, University of International Business and Economics, Beijing, ChinaView further author information
,
Xu WeiSchool of Finance, Central University of Finance and Economics, Beijing, ChinaCorrespondence[email protected]
View further author information
&
Li LiDepartment of Finance, University of International Business and Economics, Beijing, ChinaView further author information
Pages 3679-3684 | Published online: 08 Feb 2016

References

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  • Brennan, M. J., J. Hein, and S.-H. Poon. 2009. “Tranching and Rating.” European Financial Management 15: 891–922. doi:10.1111/eufm.2009.15.issue-5.
  • Coval, J., J. Jurek, and E. Stafford. 2009. “The Economics of Structured Finance.” Journal of Economic Perspectives 23: 3–25. doi:10.1257/jep.23.1.3.
  • Cuchra, M. F., and T. Jenkinson. 2005. Why Are Securitization Issues Tranched? Working Paper. Oxford: Department of Economics, Oxford University.
  • DeMarzo, P. M. 2005. “The Pooling and Tranching of Securities: A Model of Informed Intermediation.” Review of Financial Studies 18: 1–35. doi:10.1093/rfs/hhi008.
  • Griffin, J. M., J. Nickerson, and D. Y. Tang. 2013. “Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings.” Review of Financial Studies 26 (9): 2270–2310. doi:10.1093/rfs/hht036.
  • Griffin, J. M., and D. Y. Tang. 2012. “Did Subjectivity Play a Role in CDO Credit Ratings?.” The Journal of Finance 67: 1293–1328. doi:10.1111/j.1540-6261.2012.01748.x.
  • Guo, G., F. Y. Wang, and X. Wei. 2014. “Optimal Tranching with Diverse Beliefs.” Economics Letters 124: 222–226. doi:10.1016/j.econlet.2014.05.030.
  • Malamud, S., H. Rui, and A. Whinston. 2012. Optimal Risk Sharing with Limited Liability. Swiss Finance Institute Research Paper No. 12–05. Zurich: Swiss Finance Institute.
  • Maskara, P. K. 2010. ‘Economic Value in Tranching of Syndicated Loans.’ Journal of Banking & Finance 34: 946–955. doi:10.1016/j.jbankfin.2009.10.007.

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