Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with respect to Costly Information
نویسندگان
چکیده
Commercial mortgage backed securities (CMBS) are complex asset backed securities trading in markets that do not currently use derivatives pricing technology. This lack of usage is due to the complexity of the modeling exercise, and only the recent and costly availability of historical data. As such, CMBS markets provide a natural environment for the testing of market efficiency with respect to this "costly" information. Using this information, this paper develops a CMBS pricing model to provide a joint test of the model and market efficiency. Backtesting our pricing model for 4 years, although there is some evidence of abnormal trading profits, we cannot reject the efficiency of the CMBS markets.
منابع مشابه
The Low - Rated CMBS Market : Mortgage REIT , Financial Innovation and Policy Lessons from the Asian and Russian Financial Crisis
As one of the most important financial innovations in 1990s, Commercial MortgageBacked Securities (CMBS) have provided significant amounts of financing for commercial real estate. However, when the Asian and Russian financial crisis hit in 1998, the low rated CMBS market almost dried up and one of the dominant investors Criimi Mae went to Chapter 11 for protection. This study investigates the e...
متن کاملIs Commercial Real Estate Reliving the 1980s and Early 1990s?
Concern has been rising about the health of the U.S. commercial real estate market and any impact it may have on financial markets and institutions. It is too early to judge the full extent of any problems, but commercial real estate financing has been shaken by the financial market turmoil associated with recent residential mortgage defaults. The spreads of commercial mortgage-backed securitie...
متن کاملThe Impact of an Interest Rate Freeze on Residential Mortgage Backed Securities
This paper analyses effects of an interest rate freeze in subprime mortgages on residential mortgage backed securities (RMBS). In particular, we study shifts in the underlying portfolio’s discounted cashflow distributions as well as changes in the payment profile of RMBS-tranches. We show that the positive effects of a rate freeze, e.g. less foreclosures and a stabilizing housing market, can ou...
متن کاملGAO-06-9 Housing Finance: Ginnie Mae Is Meeting Its Mission but Faces Challenges in a Changing Marketplace
To view the full product, including the scope and methodology, click on the link above. For more information, contact William B. Shear at (202) 512-8678 or [email protected]. Despite its declining share of the overall MBS market, Ginnie Mae continues to serve its key public policy goal of providing a strong secondary market outlet for federally insured and guaranteed housing loans. Ginnie Mae MBS ...
متن کامل