Over the last several years, the U.S. economy has experienced a significant recession brought on by the collapse of the residential real estate market. During this downturn, the number of real estate foreclosures has risen drastically. Recent studies have empirically demonstrated a reduction in...

Employing a unique sample of individual and institutional investors, we conduct experiments to determine investors' preference for (or indifference to) financial skewness. We present investors with a series of stocks with varying levels of skewness. Using Instant Response Devices, we then...

A one-factor pricing model is employed to investigate the internal consistency of single family home and professionally-managed property prices. The risk factor used here is the US real estate index, which has much stronger explanatory power than the S&P 500 index for real estate assets....

The paper extends the work of Poterba (1984, 1991) and Voicu and Seiler (2011) by mathematically deriving the optimum rent versus buy decision without any information relating to expected home price appreciation or risk premia. Using Chicago Mercantile Exchange housing futures contracts, this...

The influential work of Genesove and Mayer (2001) uses loss aversion theory to explain several puzzling behaviors in the housing market. In this study, we present an alternative theory, which does not require an asymmetric value function, to observe the same “loss aversion” behavior....

This study examines underwater primary resident homeowners to identify why some decide to strategically default while others do not. We find that realized shame and guilt are consistent with ex ante expectations. However, the financial backlash experienced by strategic defaulters is less than...

The influential work of Genesove and Mayer (2001) uses loss aversion theory to explain several puzzling behaviors in the housing market. In this paper, we present an alternative theory, which does not require an asymmetric value function to observe the same "loss aversion" behavior....

Using a sample of 26,892 rate quotes on home purchase loan applications, the current paper investigates interstate variation in residential mortgage interest rates. More specifically, we find posted rate quotes by lenders are directly related to measures of foreclosure process risk including the...

Households that contemplate moving to different cities or trading up/down in the future are exposed to substantial housing risk. In order to mitigate this risk, we derive optimal portfolios using CME housing futures. Housing investment risk is hedged by selling housing futures amounting to the...

Over the last several years, the United States has experienced a significant recession. During this downturn, the number of real estate foreclosures has risen drastically. Recent studies have demonstrated a reduction in property values due to neighboring foreclosures - known as the foreclosure...