Author: Christopher K. Ma and Paul R. Goebel

Start Page: 19
End Page: 38
Volume: 6
Issue Number: 1
Year: 1991
Publication: Journal of Real Estate Research

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.