Concepedia

Excess Spread

Excess Spread is the residual interest differential, after accounting for servicing fees and other expenses, that remains within a mortgage-backed security when the weighted average coupon rate of the underlying mortgage pool exceeds the yield paid to investors, serving as a credit enhancement mechanism against potential losses.

40

Publications

2.6K

Citations

70

Authors

63

Institutions

Publications per year

2017–2026

2

Parents

Publications

40

How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices

Brian H. Boyer, Tomomi Kumagai, Kathy Yuan · The Journal of Finance · 2006 · 431 citations

, , +17

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

Long Chen, Pierre Collin‐Dufresne, Robert S. Goldstein · Review of Financial Studies · 2008 · 424 citations · Full text

, , +15

An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1

John Chalmers, Gregory B. Kadlec · Journal of Financial Economics · 1998 · 216 citations

, , +15

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Long Chen, Pierre Collin‐Dufresne, Robert S. Goldstein · SSRN Electronic Journal · 2008 · 161 citations · Full text

, , +15

Why are interest spreads so high in Uganda?

Thorsten Beck, Heiko Hesse · Journal of Development Economics · 2008 · 131 citations

, , +5

1–5 of 40

Authors

70

  1. DH
    Diana Hancock

    Federal Reserve, United States

    3 publications · 186 citations

    3

    h-index

  2. ML
    Myron L. Kwast

    Federal Reserve, United States

    3 publications · 186 citations

    3

    h-index

  3. PH
    Patrick Houweling

    Erasmus University Rotterdam, Netherlands

    2 publications · 81 citations

    2

    h-index

  4. OP
    Olaf Penninga

    Lehman College, United States

    2 publications · 81 citations

    2

    h-index

  5. KY
    Kathy Yuan

    London School of Economics and Political Science, United Kingdom

    2 publications · 491 citations

    2

    h-index

1–5 of 70

Institutions

63

  1. Federal Reserve

    Washington D.C., United States

    5 h-index

    11 publications

    510 citations

  2. Federal Reserve Board of Governors

    Washington D.C., United States

    4 h-index

    9 publications

    256 citations

  3. Bocconi University

    Milan, Italy

    3 h-index

    3 publications

    66 citations

  4. Freddie Mac (United States)

    Tysons Corner, United States

    2 h-index

    2 publications

    76 citations

  5. Lehman College

    New York, United States

    2 h-index

    6 publications

    243 citations

  6. University of Minnesota

    Minneapolis, United States

    2 h-index

    2 publications

    585 citations

  7. Brigham Young University

    Provo, United States

    2 h-index

    2 publications

    491 citations

  8. Wayne State University

    Detroit, United States

    2 h-index

    3 publications

    551 citations

1–8 of 63

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 285 citations

    5

    h-index

  2. 3

    h-index

  3. Financial Analysts Journal

    FAJ · 3 publications · 76 citations

    3

    h-index

  4. Journal of Financial Economics

    2 publications · 276 citations

    2

    h-index

  5. Fijian studies

    1 publications · 23 citations

    1

    h-index

1–5