I have not looked into the sustainability of the dividend however I don't think the amount of the dividend is all that defines what the stock price will be. It has to do with risk vs reward and the availability of alternative investments that can yield about the same.
When I first started investing in AGNC, about a year ago, I was leery at first even with the 20% dividend because we had just been in a housing crash and many CDOs had lost a large percentage of their values. I did not want to become such a CDO bag holder. It was only after I read their quarterly report and realized that they were investing in agency paper only that I dove in. I think that this reluctance has kept many investors away. But lately I think people are starting to understand agency mREITs a little better and as a result demand has increased. Now it is no longer necessary for the dividend to be 20% in order to attract new investors.
I won’t pretend to understand what the best valuation metric for mREITs is. But I think that if the dividend is lowered by some that it will not be the end of the world. The stock price may drop by some or it may not drop by very much at all. It all depends on the impact that this has on demand for the stock and as long as investors see agency mREITS as the best way to get a return on their money at a reasonable risk verses their alternatives they will keep buying. Keep in mind that the economy is slowing down which is signaling that we are entering another recession. Dividend stocks are usually considered safe havens under such conditions. This will only increase demand for mREITs more.
It's not so much that investors understand mReits better now as it is that AGNC, with its high dividend yield, is one of the only places they have to go when the Dow, S&P500, and NASDAQ indexes and stocks are losing money. Notice, like today, whenever those major indexes drop significantly, AGNC rises in price. That's a pretty clear indication that investors are fleeing big name stocks, even if only temporarily.