|Second pass regression|
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Definition of Second pass regression
Second pass regression
A cross-sectional regression of portfolio returns on betas. The estimated slope is the
Mortgage pass-through securities whose principal and interest payments are
Also called private-label pass-throughs, any mortgage pass-through security not
A time series regression to estimate the betas of securities portfolios.
Agency pass-throughs that guarantee the timely payment of both interest and
a statistical technique that investigates the association between dependent and independent variables; it determines the line of "best fit" for a set of observations by minimizing the sum of the squares
A statistical technique for fitting a straight line to a set of data points.
Agency pass-throughs that guarantee (1) timely interest payments and (2) principal
Also called a passthrough, a security created when one or more mortgage
The estimated relationship between a dependent variable and more than one explanatory variable.
a statistical technique that uses two or
The interest rate paid on a securitized pool of assets, which is less than the rate
The net interest rate passed through to investors after deducting servicing, management,
A pool of fixed-income securities backed by a package of assets (i.e. mortgages)
Buying a well-diversified portfolio to represent a broad-based market
See: passive management.
A market index portfolio.
Passive portfolio strategy
A strategy that involves minimal expectational input, and instead relies on
Related: Conventional pass-throughs.
A statistical technique that can be used to estimate relationships between variables.
Statistical analysis techniques that quantify the
An equation that describes the average relationship between a dependent variable and a
any line that goes through the means (or averages) of the set of observations for an independent variable and its dependent variables; mathematically, there is a line of “best fit,” which is the least squares regression line
Regression toward the mean
The tendency for subsequent observations of a random variable to be closer to its mean.
1) Procedure for selling blocks of seasoned issues of stocks.
The market where securities are traded after they are initially offered in the primary
The market where securities are exchanged between investors.
Market in which already issued securities are traded among investors.
New security issues are first sold directly to the public by the issuing firm or the government. After this initial sale, the owners of the securities can trade them among themselves or others; such activity is said to take place on the secondary market.
In investment terminology, the market in which securities are traded after they have been issued by corporations. When a company sells a new issue of securities, the transaction is considered a "primary market transaction".
Simple linear regression
A regression analysis between only two variables, one dependent and the other explanatory.
a statistical technique that uses only one independent variable to predict a dependent variable
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