On the Seasonalities of Mortgage-Backed Security Prices

Christopher K. Ma and Paul R. Goebel ()
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Christopher K. Ma: Finance College of Business Administration Texas Tech University Lubbock, Texas 79409-4320, http://finance.ba.ttu.edu/
Paul R. Goebel: Finance College of Business Administration Texas Tech University Lubbock, Texas 79409-4320, http://finance.ba.ttu.edu/

Journal of Real Estate Research, 1991, vol. 6, issue 1, 19-38

Abstract: In this paper, we investigate several well-documented seasonalities in the pricing of mortgage-backed securities. Parallel evidence to the equity markets is found in the GNMA pass-through markets for the existence of the day-of-the-week effect, the turn-of-the-month effect, the holiday effect, and the turn-of-the-year effect. While the striking similarity of such seasonalities exists in both the financial asset prices of mortgage-backed securities and of the equity markets, it does not suggest that the underlying real estate assets also follow the same pattern. Since both the GNMA pass-throughs and common stocks are backed by vastly different real assets, the common evidence of seasonalities would only imply that the seasonalities may have been a result of capital market trading phenomena.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (2)

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