Digitale Medien
Oxford, UK
:
Blackwell Publishing Ltd
Real estate economics
18 (1990), S. 0
ISSN:
1540-6229
Quelle:
Blackwell Publishing Journal Backfiles 1879-2005
Thema:
Wirtschaftswissenschaften
Notizen:
The random-walk hypothesis is tested in the prices of mortgage-backed securities traded in the secondary market. Using the variance ratio test, the random-walk hypothesis is rejected for the daily GNMA bond return. We identify two components in the return series: a systematic component reflecting the market pricing on the expected information, and a noise term that represents the pricing on the unexpected information. After adjusting for the impact of bid-ask spread and thin trading on the price quotations, the evidence suggests that the short-horizon, weekly realized return, being dominated by the negative serial correlation of the random component, exhibits a mean-reverting process. However, it is also found that the noise term demonstrates significant positive serial correlation for holding periods of over two weeks. Thus, for longer-term returns, the realized return exhibits positive dependence. The implication is that the price of GNMA bonds did not react to unexpected information in a rational fashion in that the adjustment process is not instantaneous.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1111/1540-6229.00518
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