Over the last ten years single-family mortgage lenders have become more aware of the financial benefits of finding alternatives to foreclosure for borrowers who default on their mortgage obligations. In this paper, expected costs of foreclosure alternatives are parmeterized to solve for minimum...

This paper develops a model of the market for commercial real estate loans based on the variables used by investors and lenders in property decision-making: the income capitalization (cap) rate, the debt-coverage ratio and the loan-to-value ratio. Empirical results for aggregate United States...

The real estate literature recognizes the real option to invest in capital expenditures (CAPEX) or sell a property but treats these options as independent. We show that these real options are interconnected. We provide empirical evidence that, consistent with the real option framework, CAPEX...

This paper examines the effect of a regulatory action (the Home Valuation Code of Conduct) that was designed to reduce the incidence of inflated collateral valuations. We identify the impact of the regulation using a difference-in-difference identification strategy. Our baseline results confirm...

We examine price pressure in a setting where trades occur because of regulations. Our study of fallen angel bond sales by insurance companies shows that price pressure is not significantly different from zero when information effects are absent. Our results confirm the prediction of several...

A growing debate centers on how best to recognize (and price) government interventions in the capital markets. This study applies a method for estimating and valuing the government's exposure to credit risk through its loan and guarantee programs. The authors use the mortgage portfolios of...

Housing affordability in the United States is a perennial concern. We explore the role of information asymmetry and regulations on equilibrium outcomes in rental markets to show that while landlords price the cost of regulations into rent, they also invest in tenant screening to alleviate...

There is a debate whether the federal funds rate deviated from the Taylor rule. We present evidence that standard inflation measures do not reflect the contemporaneous state of housing rents, which is a large part of consumption. Using a new housing rent index (RRI) developed by Ambrose et al....

The servicer comments are proprietary and hardly accessible; however, they can offer the single best source for real-time information of the mortgages. We utilize these comments to shed light on borrower responses to the mortgage forbearance program contained in the Coronavirus Aid, Relief, and...

We examine the effects of pandemic risk factors and the Federal government's Payment Protection Program (PPP) on the performance of securitized commercial mortgages. Using administrative data that allow us to observe county-level variation in mortgage performance by property type, we find that...