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Evaluating stochastic discount factors from term structure models
This paper introduces a new approach to testing continuous time models which can be applied to almost any pricing model and does not rely on the pricing equation having a closed form solution. It also allows use of more primitive assets then factors without having to specify an error distribution. This is achieved by examining ...
The effects of securitization on consumer mortgage financing costs
Although previous studies have found that securitization reduces primary mortgage rates by 30 basis points or more, I find these benefits disappear when fixed and adjustable rate spreads are unbundled and measured separately. I find no evidence that securitization lowers primary mortgage spreads. Nor do I find evidence that ...