| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22851 |
| 来源ID | Working Paper 22851 |
| Prepayment Risk and Expected MBS Returns | |
| Peter Diep; Andrea L. Eisfeldt; Scott Richardson | |
| 发表日期 | 2016-11-21 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities' coupons relative to the par coupon, as predicted by the model. Prepayment risks appear to be priced by specialized MBS investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a representative MBS investor's exposure to prepayment risk. |
| 主题 | Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w22851 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580525 |
| 推荐引用方式 GB/T 7714 | Peter Diep,Andrea L. Eisfeldt,Scott Richardson. Prepayment Risk and Expected MBS Returns. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22851.pdf（7209KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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