In the Journal of Financial Economics, Gerardi, Willen, and Zhang (2023) examine the relationship between prepayment rates, race, and monetary policy. In this article, we identify an anomaly in GWZ's valuation equation that relates to the effect of prepayment rates on the ratio of market price to initial loan balance. We then show the mathematical steps to correct this anomaly.
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Camilo Sarmiento (2024) studied this question.
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