Pricing Efficiency in the Mortgage Market

Robert O. Edmister and Harry E. Merriken

Real Estate Economics, 1988, vol. 16, issue 1, 50-62

Abstract: Traditionally, the presence of serial correlation has been presumed to indicate an inefficient market for financial assets. As Latham [15] discusses, while the absence of serial correlation implies market efficiency, its mere presence does not imply inefficiency. Rather, market efficiency is a characteristic of security pricing. This study investigates pricing efficiency in the mortgage market. Using mortgage loan quotations for 343 institutions over a 71‐week period, the empirical findings show that a wide variety of mortgage contracts are efficiently priced.

Date: 1988
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