Private risk capital has virtually disappeared from the U.S. housing finance market since the market's collapse in 2008. This Article argues that private risk capital is unlikely to return on any scale until the informational problems in housing finance are resolved so that investors can...

This paper utilizes the Carlson, Titman, and Tiu (2010) model of REIT returns to estimate the strength of the relationship between REIT and underlying real estate returns. Our work further offers an innovative method for computing the returns of the real estate properties underlying each REIT...

This paper establishes a theoretical and empirical link between the use of aggressive mortgage lending instruments, such as interest only, negative amortization or subprime, mortgages, and the underlying house prices. Such instruments, which come into existence through innovation or financial...

This article describes the causes of the boom and bust in the U.S. housing market, which brought down not just the U.S. financial system but the global economy. How did this vicious cycle begin? How did home prices appreciate so far and so fast? Why did rational investors not recognize and stop...

With private-label mortgage-backed securities (MBS), investors bore default risk; while this risk should have been priced, as systemic risk grew, the pricing of risk did not increase. This paper attempts to explain why this happened. We point to market institutions' incentive misalignments that...

We derive the optimal credit default swap premium a financial institution requires to assume the default risk of fixed income instruments. This premium is a function of the institution's capital and current exposure. In most cases, an institution requires an increasing premium to assume...

Despite national economic and real estate market trends that are not unique in U.S. history, the housing market woes of the United States appear to be developing into an historic, adverse episode. Indeed other countries have experienced the same fundamental forces and find themselves with...

This paper provides a conceptual basis for the price discovery potential for tradable market instruments and specifically the development of mortgage securitization in Asia and the potential dangers of such markets. Nonetheless we argue for the potential importance of securitization in Asia...

This paper establishes a theoretical and empirical link between the use of aggressive mortgage lending instruments, such as interest only, negative amortization or subprime, mortgages, and the underlying house price volatility. Such instruments, which come into existence through innovation or...

In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the quot;underpricingquot;...