December 2, 2009
Pennington-Cross on Duration of Foreclosures in the Subprime Mortgage Market
Anthony Pennington-Cross (Marquette University - Dept. of Finance) has posted The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing, forthcoming in the Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010. The abstract:
This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinominial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), ad the state-level legal environment.
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