Using a novel data set, we study the soft information in subprime mortgages that is not verifiable by a third party, and its relationship with mortgage default. We find that lender effort to collect soft information is intertwined with borrower self-selection into subprime mortgages. We employ...

We investigate the relationship between temperature and residential mortgage default using fine-scale weather information and comprehensive loan performance data. Conditional on a rich set of default risk controls and fixed effects, we identify a significant high temperature-mortgage default...