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A dynamic look at subprime loan performance
Danis, Michelle A. (contributor);  … - 2005
whether delinquency has any predictive power of the future performance of a mortgage. Using a sample of subprime mortgages … from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong …
Persistent link: https://www.econbiz.de/10002977392
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Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002115886
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Pessimistic beliefs under rational learning : quantitative implications for the equity premium puzzle
Guidolin, Massimo (contributor) - 2005
"In the presence of infrequent but observable structural breaks, we show that a model in which the representative agent is on a rational learning path concerning the real consumption growth process can generate high equity premia and low risk-free interest rates. In fact, when the model is...
Persistent link: https://www.econbiz.de/10002917582
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Time-varying risk premia and the cross section of stock returns
Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001973914
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Idiosyncratic volatility, stock market volatility, and expected stock returns
Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001985899
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Do casinos export bankruptcy?
Garrett, Thomas Andrew (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003172774
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The impact of local predatory lending laws
Ho, Giang (contributor);  … - 2005
the Federal Home Ownership and Equity Protection Act (HOEPA) by including home purchase and open-end mortgage credit, by …
Persistent link: https://www.econbiz.de/10002956726
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The delinquency of subprime mortgages
Danis, Michelle A. (contributor);  … - 2005
literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the …
Persistent link: https://www.econbiz.de/10002995304
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High equity premia and crash fears : rational foundations
Guidolin, Massimo (contributor) - 2005
"We show that when in Lucas trees model the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk...
Persistent link: https://www.econbiz.de/10002977384