Showing 1 - 4 of 4
This paper contrasts three different arbitrage-based models for the pricing of GNMA securities, and analyzes the effect of different assumptions about the call policy pursued by the issuers of the underlying mortgages. Both the nature of the interest-rate uncertainty captured by the model and...
Persistent link: https://www.econbiz.de/10005309907
This paper uses an extensive and geographically dispersed sample of single-family fixed rate mortgages to assess the prepayment and default behavior of individual homeowners. We make use of Poisson regression to efficiently estimate the parameters of a proportional hazards model for prepayment...
Persistent link: https://www.econbiz.de/10005217269
When a leveraged real estate project experience cash-flow problems, the owner must either inject additional cash or default on the mortgage. We show that it is not optimal for the owner to default as soon as net cash flow becomes negative. Surprisingly, the owner can expropriate some of the...
Persistent link: https://www.econbiz.de/10005335067
We test the implications of real option pricing models with competitive interactions for commercial real estate development. The competitive nature of a local commercial real estate market relies on a Herfindahl ratio derived from individual developers' shares of total office construction in...
Persistent link: https://www.econbiz.de/10005162175