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The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with MixingAnthony Pennington-CrossMarquette 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 SeriesDate posted: November 10, 2009 ; Last revised: November 16, 2011Suggested CitationContact Information
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