Abstract

http://ssrn.com/abstract=231518
 


 



Prepayment Risk in Adjustable Rate Mortgages: Some New Evidence


Michael LaCour-Little


California State University at Fullerton

Brent W. Ambrose


Pennsylvania State University

December 14, 1999

OLIN Working Paper No. 99-03

Abstract:     
This paper empirically examines several open questions regarding prepayment risk in adjustable rate mortgages (ARMs), using loan-level data. Results support the teaser rate and adjustment date effects implied by the theoretical option pricing model of Kau, Keenan, Epperson and Muller (1993). In addition, we find that deeply teased ARMs do have greater prepayment risk, contrary to the results of Green and Shilling (1997).

JEL Classification: G21

working papers series


Not Available For Download

Date posted: July 11, 2000  

Suggested Citation

LaCour-Little, Michael and Ambrose, Brent W., Prepayment Risk in Adjustable Rate Mortgages: Some New Evidence (December 14, 1999). OLIN Working Paper No. 99-03. Available at SSRN: http://ssrn.com/abstract=231518

Contact Information

Michael LaCour-Little (Contact Author)
California State University at Fullerton ( email )
5133 Mihaylo Hall
Fullerton, CA 92834-6848
United States
657-278-4014 (Phone)
657-278-2161 (Fax)
Brent W. Ambrose
Pennsylvania State University ( email )
University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)
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