Narrow search
Showing 1 - 10 of 5,786
Cover Image
Dealing with the quality of real estate data: some issues for financial institutions
Sampagnaro, Gabriele; Battaglia, Francesca; Porzio, Claudio - In: International Journal of Financial Services Management 6 (2013) 1, pp. 17-38
This paper addresses the issue of data quality in the real estate market. In many countries, the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights. These differences produce a lack of informative standardisation,...
Persistent link: https://www.econbiz.de/10010668722
Cover Image
Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis
Brandtner, Mario - In: Journal of Banking & Finance 37 (2013) 12, pp. 5526-5537
We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and compare it with traditional mean–variance analysis. Unlike the previous literature that considers an investor’s mean-spectral risk preferences for the choice of optimal...
Persistent link: https://www.econbiz.de/10010709479
Cover Image
Flips, flops and foreclosures: anatomy of a real estate bubble
II, Craig A. Depken; Hollans, Harris; Swidler, Steve - In: Journal of Financial Economic Policy 3 (2011) February, pp. 49-65
Purpose – This paper aims to examine the anatomy of a real estate bubble. In the process, the paper identifies three phases of the market's evolution: flips, flops and foreclosures. An examination of the Las Vegas real estate market illustrates the three phases. Design/methodology/approach –...
Persistent link: https://www.econbiz.de/10009142655
Cover Image
Loss severities on residential real estate debt during the Great Recession
Andersson, Fredrik; Mayock, Tom - In: Journal of Banking & Finance 46 (2014) C, pp. 266-284
This study develops estimates of expected loss severities on mortgage exposures using data from Florida during the Great Recession. This paper marks the first attempt at addressing sample selectivity in the context of loss models. We also construct measures of home equity that are more accurate...
Persistent link: https://www.econbiz.de/10010907103
Cover Image
Cyclical default and recovery in stress testing loan losses
Jokivuolle, Esa; Virén, Matti - In: Journal of Financial Stability 9 (2013) 1, pp. 139-149
-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their … counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method … to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time …
Persistent link: https://www.econbiz.de/10010636145
Cover Image
Chapter 13. The Microstructure of Housing Markets : Search, Bargaining, and Brokerage
Han, Lu; Strange, William C. - In: Handbook of regional and urban economics : volume 5, (pp. 813-886). 2015
This chapter surveys the literature on the microstructure of housing markets. It considers one-sided search, random matching, and directed search models. It also examines the bargaining that takes place once a match has occurred, with the bargaining taking various forms, including two-party...
Persistent link: https://www.econbiz.de/10014025302
Cover Image
Shortage function and portfolio selection: On some special cases and extensions
Briec, Walter; Oms, Laurence; Paget-Blanc, Eric - In: Finance Research Letters 11 (2014) 3, pp. 295-302
The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We...
Persistent link: https://www.econbiz.de/10010940029
Cover Image
Advertising Expensive Mortgages
Gurun, Umit G.; Matvos, Gregor; Seru, Amit - National Bureau of Economic Research (NBER) - 2013
We use a unique dataset that combines information on advertising by subprime lenders and mortgages originated by them from 2002 to 2007 to study the relationship between advertising and the nature of mortgages obtained by consumers. We exploit the richness of our data and measure the relative...
Persistent link: https://www.econbiz.de/10010950963
Cover Image
Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates
Scharfstein, David; Sunderam, Adi - National Bureau of Economic Research (NBER) - 2013
We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater refinancing activity and lower rates on new mortgages....
Persistent link: https://www.econbiz.de/10010668008
Cover Image
The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis
Mian, Atif; Sufi, Amir - National Bureau of Economic Research (NBER) - 2008
We demonstrate that a rapid expansion in the supply of mortgages driven by disintermediation explains a large fraction of recent U.S. house price appreciation and subsequent mortgage defaults. We identify the effect of shifts in the supply of mortgage credit by exploiting within-county variation...
Persistent link: https://www.econbiz.de/10005714377