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 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 use an accounting-based approach to link two primary measures of ‘value' to expected returns for countries: earnings-to-price (E/P) and book-to-price (B/P). We document that when country-level earnings are less affected by accounting distortions related to conservative accounting for...