Asymmetric information in financial economics: Asset pricing, liquidity policy and the resolution of financial distress.

摘要

This thesis consists of three self contained essays in financial economics where agents interact under asymmetric information about some latent economic fundamentals. The chapter on "Asset pricing under noisy rating signals: Does benchmarking on ratings matter.", demonstrates that, in the presence of noise traders who benchmark their supply of a traded asset to public signals (ratings), informed traders are induced to rationally overreact to news about fundamentals, leading to excess asset price volatility. The analysis also shows that if market participants use public ratings solely for price discovery purposes then, under no circumstances ratings could weaken price efficiency, even in the presence of higher order beliefs. The chapter on "Prudential liquidity regulation and the insurance aspect of lender of last resort" considers prudential liquidity regulation as quid pro quo for emergency liquidity assistance by the central bank. In the presence of bank funding constraints, information-induced bank runs and an objective by the central bank to maintain a balanced budget under its lender of last resort (LOLR) facility, it is shown that prudential liquidity regulation is socially desirable if the banking sector is characterised by sufficient funding constraints, high profit opportunities and a relatively volatile deposit base. Otherwise, liquidity regulation is too costly from a welfare perspective, even after taking into account the social value of LOLR insurance. Finally, the chapter titled "Co-ordination failure and the signalling role of banks in debt-exchange offers" studies the out-of-court restructuring of debt when a creditor bank makes concessions conditional on other creditors' actions. In line with empirical evidence, the analysis shows that a bank's conditional commitment to restructure injects a degree of strategic solidity among other creditors, who then accept restructuring more easily. That leads to resolution of financial distress at lower levels of firm's fundamentals, compared to the situation with no bank in the game, that could imply a lower deadweight cost of inefficient liquidation. It is also discussed how conditional restructuring concessions may lead to a combination of herding incentives and co-ordination problems where, depending on the extent of conditionality, one may dominate the other.