We study how investors use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short. Using U.S. data from 2006 to 2013, we find evidence that an increase in the short selling activity of real...

At this year's conference two panel discussions have been organized to address the most recent financial crisis and the associated policy implications. We recommend that you highlight your program schedule to ensure your participation in these engaging panel sessions

We document the default rates of CMBS loans during the recent financial crisis. The 30 , 60 , and 90 day delinquency rates of conduit CMBS loans have risen sharply since late 2008 and have reached levels that are about 7 times of the 10-year average. Comparing to the previous crisis in the early...

Are housing prices predictable? If so, do households take into account it when making their portfolio choices? We document the existence of housing returns predictability in the US at the aggregate and regional level. We study a model, in which housing prices are predictable and adjustment costs...

Leveraged and inverse ETFs (LETFs) were introduced in 2006 and their popularity surged starting in 2008. As of the first quarter of 2012 there were over 200 such ETFs with over $30 billion in assets under management (AUM). By late 2008 there was concern about their late-day impact on stock...

This paper investigates the influence of expected foreclosure duration on a borrower's future default propensity. We use the lagged actual time-varying state-level foreclosure times as proxies for borrower's expected benefit from default as the form of "free rent.'' While existing literature...

This paper examines the magnitude and persistence of the mortgage rate pass-through in response to U.S. monetary policy surprises. The policy surprises are measured by both the surprise changes to the target federal funds rate (the target factor) and surprises in the future direction of the...

The initial public offerings (IPO) in the stock market can relate to the real estate market through different channels. An increase in IPO may represent an improvement in the “market sentiment,” which would also stimulate the real estate market. IPO can also increase the demand on commercial...

We use Japanese prefectural-level data to analyze the relationship between borrowing patterns and house price dynamics under the recourse-loan system. Our principal finding is that in prefectures where highly leveraged homeowners are common– i.e. have high, extended loan-to-value ratios- house...