We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be priced by specialized MBS investors. The price of prepayment risk changes sign over time with the sign of a representative MBS investor's exposure to prepayment shocks.

中文翻译：

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MBS 回报的横截面

我们提出了抵押支持证券 (MBS) 回报横截面的简单线性资产定价模型。MBS 赚取风险溢价作为对他们的提前还款风险的补偿。我们使用预付款预测与实现情况来衡量预付款风险并估计风险负荷。相对于票面票息，预付风险的估计负荷在证券票息中单调递减，这与预付对债券价值的预测影响一致。预付风险似乎由专门的 MBS 投资者定价。提前还款风险的价格随时间变化，表明 MBS 投资者面临提前还款冲击。