This study releases assumptions on previous borrowers' mortgage choice under information asymmetric: exogenously known default risk and lenders' zero profit. Through maximizing borrowers' life-time utilities in housing and non-housing consumption, simulation results show that borrowers'...

This study proposes a lifetime utility maximization model, where borrowers choose optimal mortgage bundles including mortgage type, LTV and loan size to maximize their allocation of limited budgets between housing and non-housing consumptions. The model predicts that the mortgage bundles choice...

We use transactions data to explore the magnet effects of price limit rules on the Shanghai Stock Exchange (SHSE). When limit hits are imminent, stock prices are found to approach the price limits at faster rates, with higher trading intensity and larger price variation, supporting the magnet...

Since the seminal work of Merton(1974), structural models have frequently been implemented to price defaultable bonds. Empirical evidence shows significant skewness of results using Merton's model. The question is whether modifications can sufficiently improve the performance of structural...

We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rates. When the less risk-averse agent is more impatient, the two types of agents can coexist for a long time. The heterogeneity in risk aversion and discount rate induces the wealth...

Using a large proprietary IPO bidding dataset from China, we examine whether there is information production in auctioned IPOs in which uniform price applies and the underwriter has no allocation discretion. Our IPO-level and IPO-bidder-level analyses suggest that institutions bid in IPO...

This study examines two questions relating to the banking market structure. First, does the banking market structure influence banks' decisions to originate new single-family home mortgages? Second, does the banking market concentration affect mortgage default risks? Using a two-stage approach...

Using non-agency securitization data consisting of mortgages originated between 1991 and 2007, we find that fraction of defaulted mortgages increases from 10.8% in the pre-crisis period (July 2007) to 19.6% in the post crisis period (July 2009). This paper then applies a split population hazard...