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Articles 31 - 60 of 92
Full-Text Articles in Finance and Financial Management
The Impact Of Local Predatory Lending Laws On The Flow Of Subprime Credit, Giang Ho, Anthony Pennington-Cross
The Impact Of Local Predatory Lending Laws On The Flow Of Subprime Credit, Giang Ho, Anthony Pennington-Cross
Anthony Pennington-Cross
Local authorities in North Carolina, and subsequently in at least 23 other states, have enacted laws intending to reduce predatory and abusive lending. While there is substantial variation in the laws, they typically extend the coverage of the Federal Home Ownership and Equity Protection Act (HOEPA) by including home purchase and open-end mortgage credit, by lowering annual percentage rate (APR) and fees and points triggers, and by prohibiting or restricting the use of balloon payments and prepayment penalties. Empirical results show that the typical local predatory lending law tends to reduce rejections, while having little impact on the flow (application …
Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross
Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross
Anthony Pennington-Cross
No abstract provided.
Credit History And The Fha-Conventional Choice, Anthony Pennington-Cross, Joseph Nichols
Credit History And The Fha-Conventional Choice, Anthony Pennington-Cross, Joseph Nichols
Anthony Pennington-Cross
Models explaining whether households choose conventional or FHA mortgage financing typically use differential insurance premiums, loan-to-value (LTV) and payment-to-income underwriting standards, and local economic conditions to explain household behavior. Using a large and geographically diverse sample, we expand the standard choice model by including measures of borrower credit history. We find that the ability of a homebuyer to avoid credit problems is an important part of the FHA–conventional choice. In addition, credit scores of FHA borrowers are worse on average than those of conventional borrowers, but as LTV increases credit scores of conventional borrowers deteriorate.
The Role Of Geographic Proximity And Industrial Structure In Metropolitan Area Business Cycles, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer
The Role Of Geographic Proximity And Industrial Structure In Metropolitan Area Business Cycles, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer
Anthony Pennington-Cross
Measurement and prediction of aggregate economic fluctuations at the region, state, and metropolitan area level is a major challenge. As data quality and analytical techniques have improved, the analysis of coincident economic cycle indicators (CEI) has progressed from national to regional to state levels. This paper continues the trend of geographic disaggregation by constructing and analyzing CEI at the MSA level. The theoretical advantage of MSA level indexes is that they reflect labor market areas. Given lack of quarterly economic time series at the MSA level, we construct a new variable, the EPI (export price index). The EPI is an …
Credit Rationing In The U.S. Mortgage Market: Evidence From Variation In Fha Market Shares, Brent W. Ambrose, Anthony Pennington-Cross, Anthony M. Yezer
Credit Rationing In The U.S. Mortgage Market: Evidence From Variation In Fha Market Shares, Brent W. Ambrose, Anthony Pennington-Cross, Anthony M. Yezer
Anthony Pennington-Cross
This paper examines the nature of mortgage credit rationing across geographic markets and time. Particular attention is paid to the response of conventional mortgage supply to higher risk conditions associated with regional recessions. We develop a series of four indirect tests based on the spatial variation of the FHA share of mortgages, both endorsements and applications, as well as FHA and conventional rejection rates. Results of these four tests indicate that conventional mortgage underwriting criteria do not become more flexible and may even become more demanding when local economic conditions deteriorate. This result indicates the use of non-price credit rationing …
Borrower Self-Selection, Underwriting Costs, And Subprime Mortgage Credit Supply, Joseph Nichols, Anthony Pennington-Cross, Anthony Yezer
Borrower Self-Selection, Underwriting Costs, And Subprime Mortgage Credit Supply, Joseph Nichols, Anthony Pennington-Cross, Anthony Yezer
Anthony Pennington-Cross
In the U.S., households participate in two very different types of credit markets. Personal lending is characterized by continuous risk-based pricing in which lenders offer households a continuous distribution of borrowing possibilities based on estimates of their creditworthiness. This contrasts sharply with mortgage markets where lenders specialize in specific risk categories of borrowers and mortgage supply is stepwise linear. The contrast between continuous lending for personal loans and discrete lending by specialized lenders for mortgage credit has led to concerns regarding the efficiency and equity of mortgage lending. This paper sheds both theoretical and empirical light on the differences in …
Measuring The Drivers Of Metropolitan Growth: The Export Price Index, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer
Measuring The Drivers Of Metropolitan Growth: The Export Price Index, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer
Anthony Pennington-Cross
The Export Price Index (EPI) is a measure of exogenous price shocks to a city’s export industries. Thus far the EPI has been used to estimate models of metropolitan statistical area employment demand and appears to capture exogenous demand shocks to the regional economy. This article explains the intuition behind and construction of the EPI. Glaeser (2008) has noted that because “the economic theory of cities emphasizes a search for exogenous causes of endogenous outcomes like local wages, housing prices, and city growth, it is unsurprising that the economic empirics on cities have increasingly focused on the quest for exogenous …
Subprime Refinancing: Equity Extraction And Mortgage Termination, Anthony Pennington-Cross, Souphala Chomsisengphet
Subprime Refinancing: Equity Extraction And Mortgage Termination, Anthony Pennington-Cross, Souphala Chomsisengphet
Anthony Pennington-Cross
This article examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market and assesses the prepayment and default performance of these cash-out refinance loans relative to the rate of refinance loans. Consistent with survey evidence, the propensity to extract equity is sensitive to the relative interest rates of other forms of consumer debt. After the loan is originated, results indicate that cash-out refinances perform differently from non-cash-out refinances. For example, cash-outs are less likely to default or prepay, and the termination of cash-outs is more sensitive to changing interest rates and …
The Evolution Of Real Estate In The Economy, Dapeng Hu, Anthony Pennington-Cross
The Evolution Of Real Estate In The Economy, Dapeng Hu, Anthony Pennington-Cross
Anthony Pennington-Cross
While the economy as a whole has been rapidly changing in response to technological innovation, real estate has evolved from a depository of wealth for households and assets for corporations into a major force in the debt and equity markets. In contrast, the role of real estate as a contributor to the nation's output and income has remained steady at approximately 11% of gross domestic product.
The Value Of Foreclosed Property, Anthony Pennington-Cross
The Value Of Foreclosed Property, Anthony Pennington-Cross
Anthony Pennington-Cross
This paper examines the expected price appreciation of distressed property and compares it to the prevailing metropolitan area appreciation rate. Whether due to individual property or local area heterogeneity in appreciation, the results show that foreclosed property appreciates less than the area average appreciation rate. The magnitude of the deviation is sensitive to loan characteristics, legal restrictions, housing market conditions and marketing time.
States Fight Predatory Lending Laws In Different Ways, Giang Ho, Anthony Pennington-Cross
States Fight Predatory Lending Laws In Different Ways, Giang Ho, Anthony Pennington-Cross
Anthony Pennington-Cross
To restrict predatory lending in the subprime (high cost) mortgage market, Congress enacted in 1994 the Home Ownership and Equity Protection Act (HOEPA). This law restricts some types of lending and requires lenders to disclose additional information about loans that have predatory features. Following the lead of federal regulations, at least 23 states, beginning with North Carolina in 1999, have introduced their own predatory lending laws, using HOEPA as a template.1 Perhaps not surprisingly, research focusing on the impact of the North Carolina law found that the rate of applications and originations for subprime loans declined after the law took …
Alternative Methods Of Increasing The Precision Of Weighted Repeat Sales House Prices Indices*, Michelle H. Dreiman, Anthony Pennington-Cross
Alternative Methods Of Increasing The Precision Of Weighted Repeat Sales House Prices Indices*, Michelle H. Dreiman, Anthony Pennington-Cross
Anthony Pennington-Cross
Weighted repeat sales house price indices have become one of the primary indicators used to identify housing market conditions and to estimate the amount of equity homeowners have gained through house price appreciation. The primary reason for the acceptance of this methodology is that it derives a location specific (typically, census division, state or metropolitan area) average change in house prices from repeated observations of individual house prices. It is this repeat attribute that allows repeat sales price indices to claim that it is a preferable index which does a better job of holding quality constant. The amount of time …
The Federal Housing Administration In The New Millennium, Anthony Pennington-Cross, Anthony Yezer
The Federal Housing Administration In The New Millennium, Anthony Pennington-Cross, Anthony Yezer
Anthony Pennington-Cross
The first challenge in attempting to predict the future of the Federal Housing Administration (FHA) is to understand why it is still here. No other depression-era mortgage-market institution has survived without substantial modification. We conclude that its survival has depended on its ability to invent new purposes for itself. For example, it changed from a replacement for failed private mortgage insurance using economic soundness as an insurance criterion to an innovator in high-risk lending based on an acceptable risk criterion. FHA has developed special programs to serve the needs of specific groups. We believe this pattern of change in purposes …
Mortgage Product Substitution And State Anti-Predatory Lending Laws: Better Loans And Better Borrowers?, Raphael Bostic, Souphala Chomsisengphet, Kathleen Engel, Patricia Mccoy, Anthony Pennington-Cross, Susan Wachter
Mortgage Product Substitution And State Anti-Predatory Lending Laws: Better Loans And Better Borrowers?, Raphael Bostic, Souphala Chomsisengphet, Kathleen Engel, Patricia Mccoy, Anthony Pennington-Cross, Susan Wachter
Anthony Pennington-Cross
Mounting foreclosures and recent disclosures of abusive lending practices have led many states to adopt new anti-predatory lending laws. Researchers have examined the impact of such laws on credit flows and the cost of credit. This research extends the literature by examining if the market responded to these laws by substituting different mortgage products for those restricted by antipredatory lending provisions. The evidence indicates that the new laws were effective in restricting loans with targeted characteristics and that the market substituted other product types to maintain affordability in the face of these restrictions.
The Duration Of Foreclosures In The Subprime Mortgage Market: A Competing Risks Model With Mixing, Anthony Pennington-Cross
The Duration Of Foreclosures In The Subprime Mortgage Market: A Competing Risks Model With Mixing, Anthony Pennington-Cross
Anthony Pennington-Cross
This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinomial 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), and the state-level legal environment.
The Varying Effects Of Predatory Lending Laws On High-Cost Mortgage Applications, Giang Ho, Anthony Pennington-Cross
The Varying Effects Of Predatory Lending Laws On High-Cost Mortgage Applications, Giang Ho, Anthony Pennington-Cross
Anthony Pennington-Cross
Federal, state, and local predatory lending laws are designed to restrict and in some cases prohibit certain types of high-cost mortgage credit in the subprime market. Empirical evidence using the spatial variation in these laws shows that the aggregate flow of high-cost mortgage credit can increase, decrease, or be unchanged after these laws are enacted. Although it may seem counterintuitive to find that a law that prohibits lending could be associated with more lending, it is hypothesized that a law may reduce the cost of sorting honest loans from dishonest loans and lessen borrowers’ fears of predation, thus stimulating the …
A Dynamic Look At Subprime Loan Performance, Michelle A. Danis, Anthony Pennington-Cross
A Dynamic Look At Subprime Loan Performance, Michelle A. Danis, Anthony Pennington-Cross
Anthony Pennington-Cross
Does delinquency have any predictive power for the future performance of a mortgage? Analysis of a sample of subprime mortgages from the Loanperformance database on securitized private-label pool collateral using a two-step estimation procedure to control for the endogeneity of delinquency reveals strong support for the distressed prepayment theory that very delinquent loans are more likely to prepay than to default and that prepayment rates increase substantially as delinquency intensity increases. While delinquency leads predominantly to termination of a loan through prepayment, negative equity leads to termination through default. Does delinquency have any predictive power for the future performance of …
Credit History And The Performance Of Prime And Nonprime Mortgages, Anthony Pennington-Cross
Credit History And The Performance Of Prime And Nonprime Mortgages, Anthony Pennington-Cross
Anthony Pennington-Cross
Although nonprime lending has experienced steady or even explosive growth over the last decade very little is known about the performance characteristics of these mortgages. Using data from national secondary market institutions, this paper estimates a competing risks proportional hazard model, which includes unobserved heterogeneity. The analysis examines the performance of 30-year fixed rate owner occupied home purchase mortgages from February 1995 to the end of 1999 and compares nonprime and prime loan default and prepayment behavior. Nonprime loans are identified by mortgage interest rates that are substantially higher than the prevailing prime rate. Results indicate that nonprime mortgages differ …
Measuring External Shocks To The City Economy: An Index Of Export Prices And Terms Of Trade, Anthony Pennington-Cross
Measuring External Shocks To The City Economy: An Index Of Export Prices And Terms Of Trade, Anthony Pennington-Cross
Anthony Pennington-Cross
This paper details the construction of an index of export goods prices (the Export Price Index or EPI) for a panel of 196 metropolitan areas from 1977 to 1992. The EPI is an indicator of external demand shocks to the city economy which does not suffer from the causal ambiguity of the endogenous indicators such as income, employment or output. The creation of an index of aggregate export prices, the EPI, for the panel of areas provides both academicians and policy analysts with a new exogenous indicator that identifies demand price innovations and the terms of trade shocks …
Service Industries Keep Employment Steady In Arkansas' Capital, Anthony Pennington-Cross
Service Industries Keep Employment Steady In Arkansas' Capital, Anthony Pennington-Cross
Anthony Pennington-Cross
No abstract provided.
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Li-Anne Woo
Emerging market mutual funds are a rapidly growing mutual fund category. This growth is most likely due to their impressive realized returns, although their returns may be quite volatile. This study reports on emerging market mutual funds' characteristics and performance relative to domestic and international equity mutual funds and also details the significant growth in these funds. We further consider the investment allocations of the three categories of funds among developing versus mature markets. Our results suggest that the superior performance of emerging market mutual funds more than adequately compensates for their higher risk, and thus provides a sound justification …
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
Li-Anne Woo
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information component, which stays consistent irrespective of the degree of option leverage. Further, intraday variation in stock bid-ask spread components is affected by the stock trade size and the extent of imbalance in information-based option trades. Including the options market information in decomposition of the stock bid-ask spread enhances the quality of its estimation.
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This paper investigates the impact of political shocks (positive and negative) on financial markets. Using data from Pakistan for the period January 1999 to September 2006, we link ‘a’ political event to the financial market volatility. We use high frequency data from three indicators (currency, stock and money market) of the financial market for empirical estimation. We employ a Markov Switching process to identify the low and high volatility regimes in Pakistan’s financial market and then link these regimes to certain political events. We use data on daily observations of exchange rates, stock prices and interest rates to perform empirical …
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
It is well understood that bond markets play an important role in the development of the overall financial sector. Bond markets also help to make efficient investment and financing decisions, to improve efficiency in the design and implementation of monetary policy, provide financial stability by mitigating rollover risk and interest rate risk for the borrowers, provide an alternative source of finance to firms and thus reduce the monopoly of the banking sector. Given the importance of this market, this paper aims to investigate the factors that may be important for developing a market for domestic bonds. First, we discuss the …
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Laurie Prather
Emerging market mutual funds are a rapidly growing mutual fund category. This growth is most likely due to their impressive realized returns, although their returns may be quite volatile. This study reports on emerging market mutual funds' characteristics and performance relative to domestic and international equity mutual funds and also details the significant growth in these funds. We further consider the investment allocations of the three categories of funds among developing versus mature markets. Our results suggest that the superior performance of emerging market mutual funds more than adequately compensates for their higher risk, and thus provides a sound justification …
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone
Bruce Vanstone
The foreign exchange (FX) spot markets are well suited to high frequency trading. They are highly liquid, allow leverage, and trade 24 hours a day, 5 days a week. This paper documents and tests the stylized facts known about high-frequency FX markets. It then postulates a high frequency trading system on the basis of these stylized facts. Benchmarking confirms the robustness of the approach, demonstrating the role algorithmic trading has to play in higher frequency trading environments.
The Impact Of Non Interest Income On Bank Risk In Australia, Barry Williams
The Impact Of Non Interest Income On Bank Risk In Australia, Barry Williams
Barry Williams
Background: The last two decades has seen bank revenue evolve away from the ‘traditional intermediation model’ towards increased income from non interest income.
Introduction, Noel Gaston, Ahmed M. Khalid
Introduction, Noel Gaston, Ahmed M. Khalid
Ahmed Khalid
Extract: Globalization is very much part of the modern vernacular. Arguably, it was first used by McLuhan and Fiore (1968) when they introduced the concept of the ‘global village’. Globalization is characterized by the growth of the international trade of goods and services, the growth in foreign direct investment (FDI) as well as the political and social linkages that accompany growing economic integration. Outwardly, the driving forces seem to be the decline in administrative barriers to trade, sharp falls in the costs of transportation and communication, fragmentation of production processes and the development in information and communication technologies (ICT). Arguably, …
Post-Keynesian Money Endogeneity Evidence In G-7 Economics, Zatul Badarudin, Mohamed Ariff, Ahmed Khalid
Post-Keynesian Money Endogeneity Evidence In G-7 Economics, Zatul Badarudin, Mohamed Ariff, Ahmed Khalid
Ahmed Khalid
This study is a methodological evaluation of studies on importance and performance measurement, and importance–performance analysis (IPA) which has gained widespread acceptance in the hospitality and tourism research. A synthesis of IPA literature on conceptual and measurement issues is presented with a view to identifying and mitigating potential validity concerns.
The Effect Of The Ban On Short Selling On Market Efficiency And Volatility, Uwe Helmes, Julia Henker, Thomas Henker
The Effect Of The Ban On Short Selling On Market Efficiency And Volatility, Uwe Helmes, Julia Henker, Thomas Henker
Julia Henker
We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the financial crisis, the ban on short selling of financial stocks on the Australian Stock Exchange lasted eight months, including both the tumultuous end of 2008 and the calmer period up to May 2009. Our control group consists of matched Canadian financial institutions which were unaffected by a short selling ban. We analyze the impact of …