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Understanding Mortgage Spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10010404146
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Asset pricing with cohort-based trading in MBS markets
Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021
contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that … increases the yields of all MBS, because it exacerbates the cheapest-to-deliver concerns for TBA buyers and reduces the value of … the TBA market as a backup selling venue for SP buyers; (2) high selling pressure amplifies the impact of MBS …
Persistent link: https://www.econbiz.de/10012240625
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Tranching, CDS and Asset Prices : How Financial Innovation Can Cause Bubbles and Crashes
Fostel, Ana - 2011
puzzling, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will … raise the underlying asset price while the CDS outside the securitization lowers it. The resolution of the puzzle is that …
Persistent link: https://www.econbiz.de/10013121404
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Tranching, CDS and Asset Prices : How Financial Innovation Can Cause Bubbles and Crashes
Fostel, Ana; Geanakoplos, John - 2011
-2009. We study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with …, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will raise … the underlying asset price while the CDS outside the securitization lowers it. The resolution of the puzzle is that the …
Persistent link: https://www.econbiz.de/10014180051
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The pricing of financial assets in the physical world of finance
Apreda, Rodolfo - 2010
The pricing of financial assets, this paper contends, it does not consist only in assessing a technical value from a valuation model and then calibrating such value by looking at the market. In order to sharpen up this complex process we are going to handle, firstly, a valuation procedure that...
Persistent link: https://www.econbiz.de/10010323087
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598484
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Size premium, value premium and market timing: Evidence from an emerging economy
Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288
This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM)...
Persistent link: https://www.econbiz.de/10013192143
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The Capital Asset Pricing Model: A New Empirical Investigation
Zarifhonarvar, Ali - 2023
In financial economics, numerous theoretical models explain the relationship between investment risk and return in the capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this area, this study discusses the theoretical background...
Persistent link: https://www.econbiz.de/10013499610
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Coherent Measures of Risk from a General Equilibrium Perspective
Csóka, Péter; Herings, Jean-Jacques; Kóczy, László Á. - 2006
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...
Persistent link: https://www.econbiz.de/10010494343
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The term structure of inflation expectations
Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009
We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...
Persistent link: https://www.econbiz.de/10003812556