We introduce a framework that analyzes the interplay of credit risk and collateral market risk on loan pricing. That for, we decompose any loan in unsecured and secured part. We further consider explicitly the recovery process. The framework allows us to develop semi-analytical pricing formulas...

In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor...

Many college and university 403(b) plans restrict investment choices to the funds offered by TIAA-CREF, the current manager of over half of all 403(b) contributions. In the face of 2006 Internal Revenue Code changes some sponsors are dropping alternatives to TIAA-CREF. Using historical data, we...

In this paper we empirically test if loss-aversion affects household participation in equity markets, household allocations to equity, and household allocations between mutual funds and individual stocks. Using household survey data, we obtain direct measures of each surveyed household's...

This presentation explores the impact of second liens on the 2007 and 2008 mortgage crisis and the ongoing financial rescue. The presentation relies on data from the 2001 and 2007 American Housing Surveys. The major questions addressed in this presentations are:What happened to the use of second...

This study analyzes the evolution of house prices in Ireland and investigates the question of whether Irish households are overexposed to certain economic risks rendering the decision to buy a house too risky and hence irrational. We use a simple theoretical framework to demonstrate the...

Many British workers rely upon their accumulated pension savings for retirement income. Whether they appreciate the importance of saving for the future, and whether they intend to do so, are not well-understood. Based upon a representative sample of UK residents, we show that the perceived...

The disposition effect describes investors' common tendency of quitting a winning investment too soon and holding on to losing investments too long. Since Shefrin and Statman (1985), the two sides of the disposition effect, i.e. quot;selling winnersquot; and quot;holding losersquot;, have been...

The paper reviews the supply of different mortgage instruments to Italian households by means of data obtained from a survey conducted in 2007 by the Bank of Italy over more than 300 banks. The results document significant innovations in housing finance in the last five years: a greater variety...

Approximately half of credit card holders in the United States regularly carry unpaid credit card debt. These so-called quot;revolversquot; exhibit payment behavior that differs from that of those who repay their entire credit card balance every month. Previous literature has focused on the...