Bhat, Gauri; Frankel, Richard; Martin, Xiumin - In: Journal of Accounting and Economics 52 (2011) 2, pp. 153-173
We examine the relation between bank holdings of mortgage-backed securities (MBS) and MBS prices. Theory suggests feedback between MBS holdings and underlying asset markets can be aggravated by mark-to-market accounting. We measure feedback by the relation between asset returns and the changes...
