Maris, Brian A. and Segal, William (2005) CMBS Mortgage Pool Diversification and Yields: An Empirical Note: Working Paper Series--05-12. Working Paper. NAU W.A. Franke College of Business.
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Abstract
In the early years of the Commercial Mortgage-Backed Securities market, nearly all issues were backed by mortgages on a single property type. Beginning in the early 1990's, the composition of CMBS mortgage pools changed, and most mortgages on a variety of property types. This study examines the relationship between the diversification of the CMBS mortgage pool and yields on CMBS supported by the pool. Results indicate that yield spreads on AAA-rated CMBS backed by diversified pools are slightly lower than yield spreads on CMBS backed by undiversified pools. There is no evidence that yields on lower-rated CMBS are affected by pool diversification.
| Item Type: | Monograph (Working Paper) |
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| Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
| ID number or DOI: | 05-12 |
| Keywords: | Working paper, mortgage backed securities, pool diversification, property types, yield spreads |
| Subjects: | H Social Sciences > HG Finance |
| NAU Depositing Author Academic Status: | Faculty/Staff |
| Department/Unit: | The W.A. Franke College of Business |
| Date Deposited: | 19 Oct 2015 20:53 |
| URI: | http://openknowledge.nau.edu/id/eprint/1564 |
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