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On the Seasonalities of Mortgage-Backed Security Prices

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Abstract

In this paper, we investigate several well-documented seasonalities in the pricing of mortgage-backed securities. Parallel evidence to the equity markets is found in the GNMA pass-through markets for the existence of the day-of-the-week effect, the turn-of-the-month effect, the holiday effect, and the turn-of-the-year effect. While the striking similarity of such seasonalities exists in both the financial asset prices of mortgage-backed securities and of the equity markets, it does not suggest that the underlying real estate assets also follow the same pattern. Since both the GNMA pass-throughs and common stocks are backed by vastly different real assets, the common evidence of seasonalities would only imply that the seasonalities may have been a result of capital market trading phenomena.

Suggested Citation

  • Christopher K. Ma & Paul R. Goebel, 1991. "On the Seasonalities of Mortgage-Backed Security Prices," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 19-38.
    • Handle: RePEc:jre:issued:v:6:n:1:1991:p:19-38
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    1. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
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    2. Deari Fitim & Ulu Yasemin, 2023. "The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(3), pages 86-100, September.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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