Abstract

http://ssrn.com/abstract=1502857
 
 

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The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing


Anthony Pennington-Cross


Marquette University - Dept. of Finance

November 9, 2009

Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010

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.

Keywords: mortgages, subprime, foreclosure

JEL Classification: D12, G12, G21, C25

Accepted Paper Series


Not Available For Download

Date posted: November 10, 2009 ; Last revised: November 16, 2011

Suggested Citation

Pennington-Cross, Anthony, The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing (November 9, 2009). Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010. Available at SSRN: http://ssrn.com/abstract=1502857

Contact Information

Anthony N. Pennington-Cross (Contact Author)
Marquette University - Dept. of Finance ( email )
P.O. Box 1881
Milwaukee, WI 53201-1881
United States
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