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Pricing Efficiency in the Mortgage Market

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  • Robert O. Edmister
  • Harry E. Merriken

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.

Suggested Citation

  • Robert O. Edmister & Harry E. Merriken, 1988. "Pricing Efficiency in the Mortgage Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(1), pages 50-62, March.
    • Handle: RePEc:bla:reesec:v:16:y:1988:i:1:p:50-62
    DOI: 10.1111/1540-6229.00443
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    Cited by:

    1. Harry E. Merriken, 1988. "Mortgage Loan Market Segmentation and Lender Pricing Behavior," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 9-18.
    2. Robert O. Edmister & Gay B. Hatfield, 1995. "The Significance of Porfolio Lenders to Real Estate Brokers," Journal of Real Estate Research, American Real Estate Society, vol. 10(1), pages 57-68.

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