Peter Diep

AQR Capital Management, LLC

2 Greenwich Plaza

Greenwich, CT

United States

  • AQR Capital Management, LLC

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The Cross Section of MBS Returns

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Citation 1

The Cross Section of MBS Returns

Number of pages: 60 Posted: 09 Dec 2016 Last Revised: 23 Sep 2018
Peter Diep, Andrea L. Eisfeldt and Scott A. Richardson
AQR Capital Management, LLC, UCLA Anderson School of Management and AQR Capital Management, LLC
Downloads 250 (122,093)
Citation 1

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Mortgages, Mortgage Backed Securities, Prepayment, Expected Returns

Prepayment Risk and Expected MBS Returns

NBER Working Paper No. w22851
Number of pages: 49 Posted: 21 Nov 2016
Peter Diep, Andrea L. Eisfeldt and Scott A. Richardson
AQR Capital Management, LLC, UCLA Anderson School of Management and AQR Capital Management, LLC
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