We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing assuming that investors can neither borrow nor short-sell. A monopolistic bank has the incentive to create heterogeneous bundles only when investors have enough money. When the number of banks is sufficiently large, oligopolistic banks choose extremely heterogeneous bundles, even when investors have little money and even if this turns out to be collectively detrimental to the banks. If, in addition, banks can originate low quality assets, even at a cost, this collective inefficiency is exacerbated and pure welfare losses arise. Robustness to the presence of rational investors and to the possibility of short-selling is discussed.

中文翻译：

---

具有抽样投资者的金融市场中的捆绑商困境

我们研究了当投资者通过有限抽样推断资产池时银行对不同质量资产进行池化的动机。汇集不同质量的资产会导致投资者估值的分散，而不会影响他们的平均水平。价格由市场出清决定，假设投资者既不能借入也不能卖空。只有当投资者有足够的钱时，垄断银行才有动力创造异质捆绑。当银行数量足够多时，寡头垄断银行会选择极其异质的捆绑，即使投资者的资金很少，即使这对银行整体不利。此外，如果银行可以产生低质量资产，即使是有成本的，这种集体低效率也会加剧，纯粹的福利损失就会出现。