Asset Pricing with Cohort‐Based Trading in MBS Markets
研究了机构抵押贷款支持证券在个性化特定池合约和标准化待公布合约并行交易下的定价与交易效应，发现最便宜可交割问题、卖压和证券异质性对收益率和交易活动的影响。
ABSTRACT Agency mortgage‐backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to‐be‐announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest‐to‐deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positively, with the effect stronger for lower‐value SPs; (ii) high selling pressure amplifies the effects of MBS heterogeneity on SP yields; and (iii) greater MBS heterogeneity dampens SP and TBA trading activities but increases their ratio.