This research hypothesizes that in markets where information costs, transactions costs and the economic impact of information can vary widely, we should expect both significant predictability and systematic variation in the predictability. Controlling for other factors, we find that on average,...

Technical progress in originating and pricing mortgages has enabled a trend since 1979 toward more relaxed credit standards on mortgage lending, which is reflected in rising foreclosure rates. We develop a methodology for decomposing the trend in mortgage performance in the national serviced...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...

This research examines the implications of contingent claims models for empirical research on default. We focus on the probability of default over a short horizon given the current state of the world, i.e., the conditional probability of default, which more closely resembles the estimates of...

In this study, we trace the impact of corporate focus by estimating the relationships of focus with cash flow and firm value. In contrast to past studies that examine the effects of diversifying across SIC code defined industries, we show, using Tobin's q, that diversification even within a...

In a growing economy the cash flows from investment projects can be expected to be rising over time. In this paper we explore the interactions of growth and uncertainty of cash flows with variable capital intensity in the decision to invest. We derive simple replacements for the usual...

When a mortgage borrower becomes seriously delinquent (i.e., defaults), the lender initiates a time consuming and complex recovery process that may or may not result in foreclosure and eventual disposition of the real estate collateral (REO). This research studies this transition process for a...

We investigate relations among inside ownership, managerial expenses, risk sharing and equity valuations. Our engine of analysis - Real Estate Investment Trusts (REITs) - provides a unique and rich framework for analysis since we can calculate extremely accurate measures of asset replacement...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...