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Delinquency and Default in Arms: The Effects of Protected Equity and Loss Aversion

  • Seow Ong

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  • Tien Sing
  • Alan Teo
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11146-007-9039-5
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 35 (2007)
    Issue (Month): 3 (October)
    Pages: 253-280

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    Handle: RePEc:kap:jrefec:v:35:y:2007:i:3:p:253-280
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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    1. Berkovec, James A, et al, 1994. "Race, Redlining, and Residential Mortgage Loan Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 9(3), pages 263-94, November.
    2. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    3. Sam Hakim & Mahmoud Haddad, 1999. "Borrower attributes and the risk of default of conventional mortgages," Atlantic Economic Journal, International Atlantic Economic Society, vol. 27(2), pages 210-220, June.
    4. Ambrose, Brent W & Capone, Charles A, 2000. "The Hazard Rates of First and Second Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 20(3), pages 275-93, May.
    5. Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
    6. Quigley, John M., 2002. "Real Estate and the Asian Crisis," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4f4951b0, Berkeley Program on Housing and Urban Policy.
    7. David Genesove & Christopher Mayer, 2001. "Loss Aversion And Seller Behavior: Evidence From The Housing Market," The Quarterly Journal of Economics, MIT Press, vol. 116(4), pages 1233-1260, November.
    8. Brent W. Ambrose & Richard J. Buttimer Jr., 1998. "Embedded Options in the Mortgage Contract," Zell/Lurie Center Working Papers 305, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    9. James A. Berkovec & Glenn B. Canner & Stuart A. Gabriel & Timothy H. Hannan, 1994. "Race, redlining, and residential mortgage loan performance," Proceedings, Federal Reserve Bank of Philadelphia, pages 263-298.
    10. Eduardo S. Schwartz & Walter N. Torous, 1993. "Mortgage Prepayment and Default Decisions: A Poisson Regression Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 431-449.
    11. Kerry D. Vandell & Thomas Thibodeau, 1985. "Estimation of Mortgage Defaults Using Disaggregate Loan History Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 292-316.
    12. Brent W. Ambrose & Charles A. Capone, 1998. "Modeling the Conditional Probability of Foreclosure in the Context of Single-Family Mortgage Default Resolutions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 391-429.
    13. Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.
    14. Kerry D. Vandell, 1993. "Handing Over the Keys: A Perspective on Mortgage Default Research," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 211-246.
    15. Thaler, Richard, 1981. "Some empirical evidence on dynamic inconsistency," Economics Letters, Elsevier, vol. 8(3), pages 201-207.
    16. Shefrin, Hersh & Statman, Meir, 1985. " The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-90, July.
    17. Tversky, Amos & Kahneman, Daniel, 1991. "Loss Aversion in Riskless Choice: A Reference-Dependent Model," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 1039-61, November.
    18. T. Gregory Morton, 1975. "A Discriminant Function Analysis of Residential Mortgage Delinquency and Foreclosure," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 3(1), pages 73-88.
    19. Brent W. Ambrose & Michael LaCour-Little, 2001. "Prepayment Risk in Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 305-327.
    20. Jun Chen & Yongheng Deng, 2003. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," Working Paper 8614, USC Lusk Center for Real Estate.
    21. Bart Lambrecht & William Perraudin & Stephen Satchell, 1996. "Time to Default in the U.K. Mortgage Market," Archive Working Papers 016, Birkbeck, Department of Economics, Mathematics & Statistics.
    22. Agarwal, Sumit & Ambrose, Brent W. & Chomsisengphet, Souphala & Liu, Chunlin, 2006. "An empirical analysis of home equity loan and line performance," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 444-469, October.
    23. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
    24. James B. Kau & Donald C. Keenan & Taewon Kim, 1993. "Transaction Costs, Suboptimal Termination and Default Probabilities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 247-263.
    25. Ambrose, Brent W & Capone, Charles A, Jr, 1996. "Cost-Benefit Analysis of Single-Family Foreclosure Alternatives," The Journal of Real Estate Finance and Economics, Springer, vol. 13(2), pages 105-20, September.
    26. Quigley, John M., 2006. "Urban Economics," Berkeley Program on Housing and Urban Policy, Working Paper Series qt0jr0p2tk, Berkeley Program on Housing and Urban Policy.
    27. George Loewenstein & Richard H Thaler, 2003. "Anomalies: Intertemporal Choice," Levine's Working Paper Archive 618897000000000784, David K. Levine.
    28. John P. Herzog & James S. Earley, 1970. "Home Mortgage Delinquency and Foreclosure," NBER Books, National Bureau of Economic Research, Inc, number herz70-1, June.
    29. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    30. Uri Benzion & Amnon Rapoport & Joseph Yagil, 1989. "Discount Rates Inferred from Decisions: An Experimental Study," Management Science, INFORMS, vol. 35(3), pages 270-284, March.
    31. von Furstenberg, George M & Green, R Jeffery, 1974. "Home Mortgage Delinquencies: A Cohort Analysis," Journal of Finance, American Finance Association, vol. 29(5), pages 1545-48, December.
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