ABSTRACT “Limits of Arbitrage” theories hypothesize that the marginal investor in a
particular asset market is a specialized arbitrageur rather than a diversified representative …

The first mortgage-backed security (MBS) was issued in 1968. Thereafter, the MBS market
grew rapidly with outstanding issuances exceeding $9 trillion by 2010. The growth in the …

Because most mortgages in the United States are securitized in agency mortgage-backed
securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Using a vector autoregressive model with monthly data from 1988 through 2001, this study
investigates the factors that drive the excess returns on a widely followed mortgage‐backed …

Mortgage investing is the domain of financial intermediaries, such as Fannie Mae and
Freddie Mac, who possess specialized knowledge and experienced analytic teams. Capital …

The US agency mortgage backed securities (MBS) market is deep and highly liquid, yet
modeling MBS is extremely challenging. This paper applies market participants' desired …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on
agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk …

Apart from heteronomy exit events such as, for example credit default or death, several
financial agreements allow policy holders to voluntarily terminate the contract. Examples …

Over the last two decades, default rates and market risk have increased substantially. A
consequence of the growing global interlacing is a strong dependence between both …