We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the...

The fundamental determinants of the value of an option on a bond are the level and slope of the term structure and the level of interest-rate uncertainty. Competing models that have been developed to price bond options produce similar estimates as long as those models are conditioned on similar...

This paper examines the nature of mortgage credit rationing across geographic markets and time. Particular attention is paid to the response of conventional mortgage supply to higher risk conditions associated with regional recessions. We develop a series of four indirect tests based on the...

This paper presents a cross-sectional analysis of the spatial distribution of loans in the primary and secondary mortgage markets. Aggregating loan originations to the MSA level, we examine the proportion of the market served by FHA and conventional lenders. We model the geographic differences...

As the size of government sponsored enterprises (GSE) has grown, attention has focused on the relationship between the federal government and the GSEs, with particular attention focused on estimating the impact of this relationship on GSE debt costs. Quantifying the GSEs' cost advantage is a...

As a government-sponsored enterprise, Fannie Mae enjoys certain advantages over the firms. The extent of these advantages, while widely discussed, have not yet been fully quantified. This paper empirically examines the returns to Fannie Mae general obligation bonds under the assumptions of the...

This article uses house-price transaction data to estimate volatility in house prices. The volatility parameter is an input into a mortgage-pricing model that is used to simulate the contract interest rate that balances the mortgage contract. By segmenting the house-price transaction into high-...

This paper extends current mortgage pricing models to recognize the impact that delays between default and foreclosure have on the value of default to the borrower and the resulting value of the mortgage to investors. The model explicitly captures potential costs (through postforeclosure...