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  • 1
    Electronic Resource
    Electronic Resource
    Waiting to Default: The Value of Delay (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 22 (1994), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper analyzes the opportunity for early termination of a mortgage contract. We consider the possibility of defaulting on the property and explore the rules that are used by a value-maximizing borrower in exercising this option to default. The discussion centers on the value of waiting to make such a decision and the consequences of this rational inertia. We show that the observed delay in default usually attributed to transaction costs can instead be explained as entirely rational choice in a dynamic environment.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00648
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Transaction Costs, Suboptimal Termination and Default Probabilities (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: The same option-based methodology now commonly used to value mortgages and their termination features also can be applied to calculate the probabilities that mortgage default will occur. This paper pursues that idea, and furthermore, enriches the idealized option-based approach by introducing both transaction costs and “suboptimal” termination. These latter features capture the individual considerations that cause a mortgage holder's actions to differ from what rationality would indicate based solely on the market value of the mortgage. These features are of considerable importance if the results of options-based models are to be made comparable to those calculations of default probabilities occurring in the empirical literature.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00610
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  • 3
    Electronic Resource
    Electronic Resource
    The timing of prepayment: A theoretical analysis (1993)
    Springer
    The journal of real estate finance and economics 7 (1993), S. 221-228 
    Details
    ISSN: 1573-045X
    Keywords: Timing of prepayment ; prepayment
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article develops the analytical methods necessary to determine the prepayment patterns of a mortgage contract. The most obvious measure of how many years a mortgage is likely to last is the expected time to termination. It is this measure that we most fully explore. However, since the method employed is able to characterize the probability of prepayment in any given time period, the means is provided to determine any measure of the time to termination.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01096968
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  • 4
    Electronic Resource
    Electronic Resource
    The prepayment option on mortgage securities: A random coefficient approach (1992)
    Springer
    Review of quantitative finance and accounting 2 (1992), S. 33-45 
    Details
    ISSN: 1573-7179
    Keywords: mortgage securities ; prepayment ; stochastic behavior ; random coefficients
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using the Swamy (1970) model for pooled data and a Hildreth and Houck (1968) model for individual securities, this article investigates whether the parameters describing the prepayment behavior of the fixed-rate debt underlying mortgage-backed securities are better estimated as a stochastic behavior. Empirical results indicate that differences between securities are random. The Hildreth and Houck model yields additional information on randomness over time. The use of the aggregate data to estimate prepayment of individual securities, as opposed to use of the prepayment history of the individual security, may yield more reliable results.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00243983
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  • 5
    Electronic Resource
    Electronic Resource
    Ideology, voting, and shirking (1993)
    Springer
    Public choice 76 (1993), S. 151-172 
    Details
    ISSN: 1573-7101
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Since we first raised the issue in 1979, scholars have addressed two questions regarding ideology and congressional voting. Does ideology have an impact on such voting? Do representatives shirk by voting their own ideology rather than their constituents' interests? For the first question, it appears that there is a consensus that ideology does matter, although we present some confirming evidence for 1980. The second question has been confused; some think that ideology and shirking are identical, although they are logically separate categories. We show that even if ideological shirking exists, it is relatively unimportant. We also show that self interested (non-ideological) shirking exists. We conclude that research efforts to untangle constituents' and representatives' separate ideologies have been misguided and that further efforts to examine the determinants of constituent ideology should be pursued.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01049347
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  • 6
    Electronic Resource
    Electronic Resource
    Pricing commercial mortgages and their mortgage-backed securities (1990)
    Springer
    The journal of real estate finance and economics 3 (1990), S. 333-356 
    Details
    ISSN: 1573-045X
    Keywords: Commercial-mortgage ; Mortgage-backed securities ; Option pricing
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article has taken considerable effort to accurately model the complexity of a commercial mortgage and its mortgage-backed security. In fact, it is the first example in the general literature on mortgage pricing to present a comprehensive set of numerical results in which the valuation of a mortgage-backed security is explicitly tied to that of the underlying mortgage. The conclusion we reach is that option pricing provides an accurate and flexible approach to valuing the complex mortgage instruments now being developed in the financial community.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00178857
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