Prepayment Risk and Expected MBS Returns

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment forecasts

本文提出了一个用于分析抵押支持证券（Mortgage-Backed Security, MBS）收益率横截面的简单线性资产定价模型，该模型表明，抵押支持证券的风险溢价是对其暴露于提前偿付风险的补偿。我们借助提前偿付预测的真实数据，对提前偿付风险进行度量，并估计各证券的风险载荷。