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Screening with Securities

Nicolas Figueroa, Nicolas Inostroza   Apr 26,2023

Working Paper No.00097-00

A liquidity-constrained asset owner designs an asset-backed security to raise funds from an informed liquidity supplier. Information insensitive securities reduce... Read More

Optimal Information and Security Design

Anton Tsoy , Nicolas Inostroza   Jul 11,2023

Working Paper No.00105-00

An asset owner designs an asset-backed security and a signal about its value. After privately observing the signal, he sells... Read More

The Rise of Factor Investing: "Passive" Security Design and Market Implications

Douglas Xu, Shiyang Huang , Lin William Cong (叢林)   Dec 30,2023

Working Paper No.00133-00

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that... Read More