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dc.contributor.authorZhu, Haoxiang
dc.date.accessioned2021-04-06T15:00:15Z
dc.date.available2021-04-06T15:00:15Z
dc.date.issued2019-08
dc.identifier.issn0893-9454
dc.identifier.urihttps://hdl.handle.net/1721.1/130389
dc.description.abstractMortgage dollar roll, the most common financing strategy for agency MBS, differs from repo in that the returned collateral can differ from those received. Also, MBS ownership changes hands in the funding period. We show that dollar roll "specialness," how much implied financing rates fall below MBS repo rates, (1) increases in the value of the cheapest-to-deliver option, (2) decreases in the leverage of primary dealers, (3) decreases in prepayment risk exposure during the financing period, and (4) decreases in MBS returns. The Federal Reserve's dollar roll sales in quantitative easing operations are associated with lower specialness. Received February 3, 2016; editorial decision July 30, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.en_US
dc.language.isoen
dc.publisherOxford University Press (OUP)en_US
dc.relation.isversionof10.1093/RFS/HHY117en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alikeen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/en_US
dc.sourceSSRNen_US
dc.titleMortgage Dollar Rollen_US
dc.typeArticleen_US
dc.identifier.citationSong, Zhaogang and Haoxiang Zhu. “Mortgage Dollar Roll.” Review of Financial Studies, 32, 8 (August 2019): 2955–2996 © 2019 The Author(s)en_US
dc.contributor.departmentSloan School of Managementen_US
dc.relation.journalReview of Financial Studiesen_US
dc.eprint.versionOriginal manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/NonPeerRevieweden_US
dc.date.updated2021-04-06T12:52:43Z
dspace.orderedauthorsSong, Z; Zhu, Hen_US
dspace.date.submission2021-04-06T12:52:44Z
mit.journal.volume32en_US
mit.journal.issue8en_US
mit.licenseOPEN_ACCESS_POLICY


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