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  • 1
    Electronic Resource
    Electronic Resource
    Mortgage Refinancing with Asymmetric Information (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 21 (1993), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Information asymmetry exists between the lender and the borrower regarding the holding period of the mortgaged real estate; the lender does not know how long the borrower plans to own the house. This information asymmetry allows the cost of obtaining a mortgage to deviate from its value to the borrower. As a result, the exercise price of the option to refinance becomes the cost to the borrower of obtaining a new mortgage instead of the outstanding balance of the existing mortgage as used in previous models. The option to refinance is a sequential option; after the borrower refinances, a new option is obtained to refinance again in the future. A mortgage refinancing model is developed taking information asymmetry and sequential refinancing into account. The model is used to solve for (1) the value to the borrower of a callable mortgage and (2) the minimum interest rate differential between the contract rate of the existing mortgage and the market interest rate needed to justify refinancing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00621
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  • 2
    Electronic Resource
    Electronic Resource
    Stock Market Response to Voluntary Liquidations and Reorganizations of Real Estate Corporations (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 19 (1991), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Announcements of voluntary liquidation or reorganization by real estate corporations are analyzed. There is a positive stock price response to announcement of liquidation, and a negative stock price response to announcements of reorganization. Results were the same before and after the 1978 Bankruptcy Reform Act took affect.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00542
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  • 3
    Electronic Resource
    Electronic Resource
    Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models (1999)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 26 (1999), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: To value mortgage-backed securities and options on fixed-income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi-factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage-backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single-factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single-factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00247
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  • 4
    Electronic Resource
    Electronic Resource
    The Effect of Exercise Date Uncertainty on Employee Stock Option Value (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The IASC recently recommended that employee compensation in the form of stock options be measured at the ‘fair value’ based on an option pricing model and the value should be recognized in financial statements. This follows adoption of SFAS No. 123 in the United States, which requires firms to estimate the value of employee stock options using either a Black-Scholes or binomial model. Most US firms used the B-S model for their 1996 financial statements. This study assumes that option life follows a Gamma distribution, allowing the variance of option life to be separate from its expected life. The results indicate the adjusted Black-Scholes model could overvalue employee stock options on the grant date by as much as 72 percent for nondividend paying firms and by as much as 84 percent for dividend paying firms. The results further demonstrate the sensitivity of ESO values to the volatility of the expected option life, a parameter that the B-S model or a Poisson process cannot accommodate. The variability of option life has an especially big impact on ESO value for firms whose ESOs have a relatively short life (5 years, for example) and high employee turnover. For such firms, the results indicate a binomial option pricing model is more appropriate for estimating ESO value than the B-S type model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05390
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  • 5
    Electronic Resource
    Electronic Resource
    Analysis of Bond Refunding With Overlapping Interest (1989)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 16 (1989), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1989.tb00040.x
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  • 6
    Electronic Resource
    Electronic Resource
    Market Reactions, Characteristics, and the Effectiveness of Corporate Layoffs (1998)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 25 (1998), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Two hypotheses are considered to explain employee layoffs by corporations: (1) the declining investment opportunities hypothesis; and (2) the efficiency hypothesis. The stock market response to employee layoff announcements is estimated to be negative, which is consistent with the declining investment opportunities hypothesis as opposed to the efficiency hypothesis. Large, permanent, and unanticipated layoffs are associated with higher market reaction relative to small, temporary, and anticipated layoffs. A significant difference exists between industry type and for the stated reason of the layoff. Corporate layoffs per se increased the efficiency of the firm, as evidenced by a significant increase in return on equity and net income to employee in the post-announcement relative to the pre-announcement period.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00190
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  • 7
    Electronic Resource
    Electronic Resource
    Mortgage prepayment with an uncertain holding period (1996)
    Springer
    The journal of real estate finance and economics 12 (1996), S. 179-194 
    Details
    ISSN: 1573-045X
    Keywords: mortgage prepayment ; refinancing ; options ; holding period
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A discrete-time-option pricing model is developed to value a mortgage and its embedded prepayment option when the effective life of the mortgage is a random variable with a probability distribution of known parameters. The model can be applied when the borrower's ex ante expectation of his tenure follows any probability distribution bounded to the left at zero. The Gamma distribution is used to illustrate the model. The pricing model is further applied to determine the conditions under which financially motivated prepayment is optimal. The results show that the certainty model understates the Interest Rate Differential needed to justify prepayment (IRD) for short Expected Holding Period (EHP) borrowers and overstates the IRD for long EHP borrowers. When the EHP is relatively long, the certainty model provides relatively good estimates of IRD during the beginning years of the mortgage life. Under most other conditions, the estimates of the certainty holding period model are biased.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00132266
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  • 8
    Electronic Resource
    Electronic Resource
    Valuing and hedging fixed rate mortgage commitments (1989)
    Springer
    The journal of real estate finance and economics 2 (1989), S. 223-232 
    Details
    ISSN: 1573-045X
    Keywords: Mortgage commitment ; Put option ; Forward market ; Hedge
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A fixed rate loan commitment that is binding on the lender but not on the loan applicant is equivalent to a put option. This article uses the Black-Scholes option pricing model to establish a value for fixed rate loan commitments and to derive the hedge ratio for the lending institution to hedge the interest rate risk associated with the commitments in the FHLMC forward market for mortgages. The effectiveness of the resulting hedge is tested in a simulation, where it is found that the result is a 71% reduction in the variance of the value of the lender's gain or loss associated with the commitment period.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00152350
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  • 9
    Electronic Resource
    Electronic Resource
    Interest-only and principal-only mortgage strips as interest-rate contingent claims (1996)
    Springer
    The journal of real estate finance and economics 13 (1996), S. 187-202 
    Details
    ISSN: 1573-045X
    Keywords: interest-only strips ; principal-only strips ; mortgage-backed securities ; pricing model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Interest-only (IO) and principal-only (PO) mortgage strips are valued in a stochastic interest-rate environment. The prepayment rate of the underlying mortgages is affected by two considerations not present in the “pure” financially rational model: (1) The property owner's holding period is assumed to follow a Gamma distribution, resulting in the possibility of prepayment due to the sale of the property (i.e., prepayment that is “too early” based on market interest rates); and (2) borrowers are assumed to face heterogeneous transaction costs related to refinancing the existing mortgage, and delay refinancing when market conditions make it optimal to do so (refinancing “too late”). Properties of IO/PO strips are identified by the finite difference method.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00217390
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