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...

We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short-sellers can endogenously...

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for theirexposure to prepayment risk. We measure prepayment risk and estimate security riskloadings using real data on prepayment forecasts vs....

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...

The market value of US Single Family Rental assets is $2.3 trillion, yet we believe that we provide the first systematic analysis of total returns to Single Family Rentals over a long time period, in a broad and granular cross section. Analogous to the dividend yields and capital gains that...

The market value of US Single Family Rental assets totals more than $2.3 trillion. We believe that we provide the first systematic analysis of total returns to Single Family Rentals over a long time period, in a broad and granular cross section. We find that total nominal returns are...