Standardizing Yields on Mortgages and other Securities

George G. Kaufman and George E. Morgan

Real Estate Economics, 1980, vol. 8, issue 2, 163-179

Abstract: The existence of a difference between the yield to maturity of a coupon bond and the expected holding period return on a coupon bond, referred to as coupon bias, is well recognized. This paper discusses the nature of coupon bias for mortgages, estimates the magnitude of the bias under different assumptions about the characteristics of the mortgage security and the term structure, and compares the magnitude of the coupon biases on mortgages and comparable coupon bonds. For a moderately upward sloping term structure at current levels of interest rates, coupon bias for a thirty‐year mortgage can be on the order of 75 basis points.

Date: 1980
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/1540-6229.00210

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:8:y:1980:i:2:p:163-179

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().