Mortgage Refinancing with Asymmetric Information

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.     

Optimal Mortgage Refinancing with Stochastic Interest Rates

The purpose of this paper is to develop a dynamic model of mortgage refinancing in a contingent claim framework that simultaneously solves for the borrower's optimal mortgage refinancing strategy, the value of the refinancing call option, the value of the mortgage liability to the borrower, and the market (lender) value of the fixed-rate contract. We also calculate the minimum differential between the contract rate on the existing mortgage and the current interest rate that is required to trigger an optimal mortgage refinancing.     

Housing Quality and the Structure Tax: Evidence from Microdata

In a previous study [13] I showed theoretically that housing quality will rise when the structure tax rate falls if capital is a noninferior input. This result was supported empirically with aggregate SMSA-level data. The present study reports empirical confirmation with microdata more appropriate for the theoretical hypothesis.     

Arbitration Decisions in Subcontracting Disputes

This study examines factors underlying arbitrators' decisions in disputes involving subcontracting. A framework devised by Dash (1963) is used to code arbitration decisions according to the issues arbitrators raised in reaching their conclusions. In addition, external factors such as geographical location, background of the arbitrator, industry, and when the decision occurred are evaluated. The results of logit analyses indicate that Dash's framework explains much of the variance in the arbitrators' decisions. External factors are unrelated to the decisions.     

Explaining the Variability of Apartment Rents

The research reported here uses regression analysis to analyze rent variations in a sample of apartment data from the Phoenix metropolitan area. Many of the variables used in hedonic price studies of houses are found to be significant in explaining variations in apartment rent. There are differences between hedonic studies of houses and apartments particularly with respect to common area features or amenities. The analysis of various submarkets also produced interesting results. Various uses can be made of the results of this and similar studies by appraisers (market-derived adjustments), property managers (setting rents) and feasibility analysts (the design of apartment projects).     

钢铁企业利用资本市场再融资问题研究

以武钢作为实证研究的对象,分析了直接融资的重要性,以及可操作的证券融资工具的特点,提出股权分置改革后钢铁企业再融资的思路。     

Movers and Shuckers: Interdependent Prepayment Decisions

We model competing risks of mortgage termination where the borrower faces a repeated choice to continue to pay, refinance the loan, move or default. Most previous empirical work on mortgage prepayment has ignored the distinction between prepayments triggered by refinancing and moving, combining them into a single prepayment rate. We show that financial considerations are the primary drivers of the refinance choice while homeowner characteristics have more influence on the move decision. We demonstrate that these differences are statistically significant and that combining these two distinct choices into a single measure of prepayment shifts coefficients toward zero and produces inaccurate predictions of aggregate termination rates. For example, a combined model underestimates the effect of the market price of the loan on refinancing; it misses entirely the opposite effects of borrower income on moving and refinancing. Our results suggest that existing prepayment models are inconsistent predictors of mobility-driven prepayment and underestimate the effect of market conditions and borrower characteristics on refinancing and housing decisions. Our findings have great significance to mortgage investors because mobility-driven prepayments are likely to be a more significant source of prepayments in thenext decade.     

Capital Structure Decisions in Real Estate Investment

This study examines the financing decisions of real estate investors and the choice of capital structure when acquiring income-producing properties. Drawing from the literature in finance and real estate, we develop a capital structure model for real estate investment and derive six hypotheses regarding the relationship of the overall loan-to-value ratio chosen by an investor to selected characteristics of the investment. The hypotheses are then tested using financing data from a sample of apartment and commercial transactions over a fifteen-year period in a specific real estate market. The empirical findings strongly support the importance of depreciation deductions, financial distress costs, capital constraints, tax rates, and interest rates as determinants of the capital structure of real estate investors.     

Tenure Decisions Under a Progressive Tax Structure

Although certain provisions of the federal tax code provide subsidies to homeowners, others provide subsidies to renters in the form of tax incentives for investments in rental housing. We demonstrate that the renter subsidies dominate for households in low tax brackets whereas homeowner subsidies dominate for households in high tax brackets. Moreover the dollar magnitude involved in the tenure decision can easily push a household across tax brackets. Based on this relation, we identify an upper bound on the value of a dwelling that a household with a given income will prefer to own rather than rent for tax purposes. If the household were to choose a dwelling valued in excess of this household-specific upper bound, the tax effect would reverse and favor renting. This complication provides a possible explanation for apparent tax anomalies in tenure decisions, i.e., high income renters and/or low income homeowners.     

Toward Explaining the Growth of Defined Contribution Plans

Since 1980, defined benefit plans have steadily lost market share to defined contribution plans. In 1979, defined contribution plans had 17 percent of the primary pension market. By 1988, it was 34 percent. About half of the shift is attributable to a loss of employment in large unionized firms where defined benefit plans are used intensively. But evidence of large changes in preferences is also found in the data. One likely explanation is the introduction of a new variety of defined contribution plans, so-called 401(k)s. These pension plans have productivity traits that make them more effective competition for defined benefit plans.     

Innovation and Merger Decisions in the Pharmaceutical Industry

There is increasing public policy concern about the potentialeffects of mergers on innovation. This paper provides acomparative analysis of approaches to innovational competitiontaken by the E.U. and U.S. merger authorities in a sample of threerecent, major, pharmaceutical mergers. The European Commission'sapproach appears lighter handed and places more explicit emphasison effects in downstream markets. The uncertainties in the analysisof dynamic effects of mergers on innovation, even in pharmaceuticals,suggest the need for a cautious approach and for careful framingof any merger remedies where R & D projects and components, ratherthan approved drugs, are involved.     

国际大石油公司投资决策研究

石油行业投资的高风险和投资项目的多样性及投资回报的差异性,决定了国际大石油公司十分重视投资决策的科学性。20世纪90年代的国际大石油公司投资具有周期性、稳定性、投资回报导向性以及趋同性的特点。国际大石油公司注重发展战略与长期规划,长期规划与年度投资计划的紧密结合。注重投资决策的整体最优化,注重投资计划的严肃性与相对灵活性的有机结合,注重投资效果的跟踪评估、从而有力地保证了公司的投资效果。我国石油公司投资决策的程序与方法与国际大石油公司的通行做法是基本接轨的。但是我们在投资决策的前期研究、优化筛选、滚动调整和投资后评估等方面还存在一定的差距。国外石油公司投资决策已经形成了一套比较规范、比较完整、比较科学的工作体系,其中不少地方值得我们学习和借鉴。