On the Seasonalities of Mortgage-Backed Security Prices
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.
Volume (Year): 6 (1991)
Issue (Month): 1 ()
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- Ariel, Robert A, 1990. " High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
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