Asset Pricing with Cohort-Based Trading in MBS Markets

被引：5

作者：

Fusari, Nicola ^{[1
]}

Li, Wei ^{[1
]}

Liu, Haoyang ^{[2
]}

Song, Zhaogang ^{[1
]}

机构：

[1] Johns Hopkins Carey Business Sch, Baltimore, MD USA

[2] Fed Reserve Bank Dallas, Dallas, TX USA

来源：

JOURNAL OF FINANCE | 2022年 / 77卷 / 06期

关键词：

MORTGAGE-BACKED SECURITIES; PREPAYMENT RISK; QUALITY OPTION; VALUATION; COSTS; TRANSPARENCY; ARBITRAGE; LIQUIDITY; IMPLICIT; CREDIT;

D O I：

10.1111/jofi.13180

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positively, with the effect stronger for lower-value SPs; (ii) high selling pressure amplifies the effects of MBS heterogeneity on SP yields; and (iii) greater MBS heterogeneity dampens SP and TBA trading activities but increases their ratio.

引用

页码：3249 / 3287

页数：39

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