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Woodhead Behavior and the Pricing of Residential Mortgages
16 references·2 citing·48 second hop
Woodhead Behavior and the Pricing of Residential Mortgages (2001)Woodhead Behavior and the Pricing of Resi…Adverse Selection in Mortgage Securitization (2010)Adverse Selection in Mortgage…Understanding the Subprime Mortgage Crisis (2009)Understanding the Subprime Mo…Frailty Correlated Default (2009)Frailty Correlated DefaultSpecification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Mortgage Terminations, Hetero…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Mortgage Terminations, Hetero…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (1997)A Unified Theory of Underreac…A Model of Investor Sentiment (1997)A Model of Investor SentimentA Simple Approach to Three-Factor Affine Term Structure Models (1996)A Simple Approach to Three-Fa…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…Prepayments on fixed-rate mortgage-backed securities (1989)Prepayments on fixed-rate mor…Prices of Single Family Homes Since 1970: New Indexes for Four Cities (1987)Prices of Single Family Homes…The Effects of Interest Rates on Mortgage Prepayments (1986)The Effects of Interest Rates…Econometric duration analysis (1984)Econometric duration analysisA model of investor sentiment /A model of investor sentiment…Systemic Risk and the Refinancing Ratchet Effect (2009)Systemic Risk and the Refinan…Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures (2008)Subprime Outcomes: Risky Mort…Conditional logit analysis of qualitative choice behavior (1972)Job Matching and the Theory of Turnover (1979)A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data (1984)Limited Dependent Variable Models Using Panel Data (1987)Do innovations diffuse faster within geographical clusters? (2000)Interactions-Based Models (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Local Return Factors and Turnover in Emerging Stock Markets (1999)Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Pricing of Options and Corporate Liabilities (1973)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Credit Contagion from Counterparty Risk (2009)Affine Point Processes and Portfolio Credit Risk (2010)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Negative equity and foreclosure: Theory and evidence (2008)What moves housing markets: A variance decomposition of the rent–price ratio (2009)A Model of Mortgage Default (2011)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Loss Aversion and Seller Behavior: Evidence from the Housing Market (2001)The anatomy of bank diversification (2009)The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis * (2009)Loan growth and riskiness of banks (2010)Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market (2012)The Behavior of Home Buyers in Boom and Post-Boom Markets (1988)Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011)Recourse and Residential Mortgage Default: Evidence from US States (2011)Momentum, Business Cycle and Time Varying Expected Returns (2001)Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets (2001)Multi-market trading and arbitrage☆ (2010)
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References

  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1997A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets1,041 cited
  • 2009Understanding the Subprime Mortgage Crisis1,012 cited
  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 1984Econometric duration analysis618 cited
  • 1987Prices of Single Family Homes Since 1970: New Indexes for Four Cities551 cited
  • 2009Frailty Correlated Default547 cited
  • 1997A Model of Investor Sentiment449 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 2010Adverse Selection in Mortgage Securitization243 cited
  • 1986The Effects of Interest Rates on Mortgage Prepayments223 cited
  • 1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options205 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1996A Simple Approach to Three-Factor Affine Term Structure Models

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154 cited

Cited by

  • 2009Systemic Risk and the Refinancing Ratchet Effect74 cited
  • 2008Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures73 cited