NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Prepayment Risk and Expected MBS Returns

Peter Diep, Andrea L. Eisfeldt, Scott Richardson

NBER Working Paper No. 22851
Issued in November 2016, Revised in March 2017

---- Acknowledgments ----

We would like to thank Attakrit Asvanunt, Mikhail Chernov, Itamar Drechsler, Brett Dunn, Mark Garmaise, Ronen Israel, Arvind Krishnamurthy, Francis Longstaff, William Mann, Tobias Moskowitz, and Tyler Muir, as well as seminar participants at AQR, the Federal Reserve Bank of New York, and NYU Stern for comments and suggestions. All errors are ours. Eisfeldt has an ongoing consulting relationship with AQR. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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