We present a simple theoretical model of adverse selection when lenders allow reduced documentation. The model shows how reduced documentation attracts both riskier borrowers and larger size loans. We then empirically test implications of the model using stated income loans originated during the...

We develop a unique paired loan dataset containing information on multiple conventional conforming mortgage loans to examine home equity extraction decisions over the 2000–2006 period. The main question addressed is how much households borrow when refinancing their current mortgage debt...

We focus on an agency problem encountered by mortgage lenders and investors in mortgage-backed securities when the underlying collateral is originated by third parties. Third parties, such as mortgage brokers, have economic incentives to encourage borrowers to refinance and, accordingly, their...

Developing a good prepayment model is a central task in the valuation of mortgages and mortgage-backed securities but conventional parametric models often have bad out-of-sample predictive ability. A likely explanation is the highly non-linear nature of the prepayment function. Non-parametric...

Much of the literature on pricing commercial mortgages and commercial mortgage-backed securities has assumed homogeneity in prepayment penalty structure. In this paper, we provide evidence that such an assumption is inappropriate and examine the effect of penalty structures observed in actual...

The release of the 2004?005 Home Mortgage Disclosure Act data raised a number of questions given the increase in the number and percentage of higher-priced home mortgage loans and continued differentials across demographic groups. This paper assesses three possible explanations for the observed...

The topic of mortgage discrimination has received renewed interest since publication of the Boston Federal Reserve Bank study based on 1990 Home Mortgage Disclosure Act data. That study used traditional direct logistic regression to assess the influence of race on the probability of mortgage...

We combine loan data from distinct sources to compare and contrast multifamily mortgage lending in Canada and the U.S. After a general comparison of the multifamily housing markets in the two countries, we focus on loan pricing and non-price contract terms in the two environments. We find longer...

Mortgage brokers have grown in importance in the home mortgage origination process in recent years suggesting they provide a valuable service matching borrowers and lenders, although their involvement has also been linked to the recent surge in mortgage defaults and foreclosures. As in other...

Housing policy in the United States has long supported homeownership yet variation persists across income groups. This paper employs recent mortgage origination data to focus on the revealed preferences of low-and-moderate income (LMI) households in home purchase mortgage choice. We identify the...