Standardizing Yields on Mortgages and other Securities
讨论了抵押贷款的息票偏差问题，估算了不同假设下偏差的大小，并比较了抵押贷款与可比息票债券的偏差幅度。对理解抵押贷款收益率有参考价值。
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.