Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021
Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate … Fannie Mae MBS, leading to higher issuance and trading volume, lower transaction costs, higher security prices, and a lower … - which consolidated Fannie Mae and Freddie Mac MBS trading into a single market in June 2019. We find that consolidation …