Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
研究了商业抵押贷款支持证券（CMBS）市场是否有效利用了昂贵的历史数据信息，通过构建定价模型进行回测，发现虽有异常交易利润证据，但无法拒绝市场效率假设。
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 article 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.