I provide empirical evidence in support of the conjecture that many observed market anomalies are simply a manifestation of the market's process of searching for equilibrium. Therefore, these anomalies should be fully explained by risk pricing, if only we knew how to correctly measure risk in a...

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...