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- Title
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information.
- Authors
Christopoulos, Andreas D.; Jarrow, Robert A.; Yildirim, Yildiray
- Abstract
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.
- Subjects
MORTGAGE-backed securities; ASSET backed financing; DERIVATIVE securities; CAPITAL assets pricing model; PRICING; PRICES
- Publication
Real Estate Economics, 2008, Vol 36, Issue 3, p441
- ISSN
1080-8620
- Publication type
Article
- DOI
10.1111/j.1540-6229.2008.00219.x