주택저당증권(MBS)의 투자성과 분석에 관한 연구

This study examines the investment performance of Mortgage-Backed Securities (MBS) compared to other types of bonds. To analyze the investment performance, we use the MBS Index (K-MBSI) derived from MBS as well as public, financial, and corporate bonds indices. The average weekly return of MBS from 2017 to 2024 is 0.0404%, higher than the public bonds (0.0353%). We also identify that the investment performance when considering total or systematic risk for each bond, MBS demonstrates superior performance compared to public bonds. In addition, the non-callable MBS index which excludes the early repayment option exhibits the highest risk-adjusted performance among all bonds, with consistent results during the periods of declining interest rate. The cash flow of MBS is determined by the underlying asset of residential mortgages, which involves uncertainty and poses a risk factor for investors. However, since the Korea Housing Finance Corporation guarantees the principal and interest payments for MBS investors, the default risk is nearly nonexistent, which may result in lower expected returns. On the other hand, considering the favorable risk-adjusted performance of the MBS, it can be inferred as an attractive investment asset in the bond market.