Pricing effects in Fannie Mae agency bonds

Brent W. Ambrose, Arthur Warga

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


As a government-sponsored enterprise, Fannie Mae enjoys certain advantages over other firms. The extent of these advantages, while widely discussed, have not yet been fully quantified. This paper empirically examines the returns to Fannie Mae general obligation bonds under the assumptions of the Arbitrage Pricing Theory. The model provides an explicit method for estimating the risk premium on Fannie Mae bonds. The results indicate that liquidity and tax effects are important in explaining the returns to Fannie Mae bonds. The results also indicate that the market does not incorporate changes in the riskiness of the mortgage market into the returns on Fannie Mae bonds. The results provide support for the contention that Fannie Mae, as a government sponsored enterprise, enjoys a significant advantage over other firms in the capital market.

Original languageEnglish (US)
Pages (from-to)235-249
Number of pages15
JournalThe Journal of Real Estate Finance and Economics
Issue number3
StatePublished - Nov 1995

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies


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