Brent W. Ambrose

Pennsylvania State University

Smeal Professor of Real Estate

University Park, PA 16802-3306

United States

  • Pennsylvania State University

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    • Tel: 814-867-0066
    • Fax: 814-865-6284
SCHOLARLY PAPERS

74

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258

CROSSREF CITATIONS

100

Scholarly Papers (74)

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1.

The Impact of Student Loan Debt on Small Business Formation

Downloads 3,200 ( 6,454)
Citation 4

The Impact of Student Loan Debt on Small Business Formation

Number of pages: 37 Posted: 31 Mar 2014 Last Revised: 21 Jul 2015
Brent W. Ambrose, Larry Cordell and Shuwei Ma
Pennsylvania State University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 2,769 (7,932)

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Student Loans, Small Business, Debt

The Impact of Student Loan Debt on Small Business Formation

FRB of Philadelphia Working Paper No. 15-26
Number of pages: 32 Posted: 22 Jul 2015
Brent W. Ambrose, Larry Cordell and Shuwei Ma
Pennsylvania State University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 431 (112,083)
Citation 4

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Student Loans, Small Business Finance, Debt Capacity

2.

Commercial Mortgage-Backed Securities: Prepayment and Default

Downloads 3,034 ( 7,009)
Citation 12

Commercial Mortgage-Backed Securities: Prepayment and Default

Number of pages: 32 Posted: 04 Feb 2002
Brent W. Ambrose and Anthony B. Sanders
Pennsylvania State University and George Mason University - School of Business
Downloads 3,034 (6,887)
Citation 12

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Commercial Mortgage-backed Securities, Competing Risks, Prepayment, Default

Commercial Mortgage-Backed Securities: Prepayment and Default

Posted: 14 Aug 2002
Brent W. Ambrose and Anthony B. Sanders
Pennsylvania State University and George Mason University - School of Business

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commercial mortgage-backed securities, competing risks, prepayment, default

3.

Determinants of Automobile Loan Default and Prepayment

Economic Perspectives, Vol. 32, No. 3, 2008
Number of pages: 12 Posted: 19 Sep 2008
Sumit Agarwal, Brent W. Ambrose and Souphala Chomsisengphet
National University of Singapore, Pennsylvania State University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 1,244 (27,990)
Citation 2

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consumer debt, auto loans, household finance, prepayment, default, Financial Institutions and Services, Duration Analysis, Personal Finance, Asymmetric and Private Information

4.

Understanding the Risk of China's Local Government Debts and its Linkage with Property Markets

Number of pages: 36 Posted: 29 Jan 2015
Brent W. Ambrose, Yongheng Deng and Jing Wu
Pennsylvania State University, Wisconsin School of Business, University of Wisconsin-Madison and Tsinghua University - Hang Lung Center for Real Estate
Downloads 1,008 (37,797)
Citation 21

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China municipal bonds, fixed-income securities, house prices, China development

5.

House Prices and Fundamentals: 355 Years of Evidence

Number of pages: 24 Posted: 28 Jul 2009 Last Revised: 19 Feb 2013
Brent W. Ambrose, Piet M. A. Eichholtz and Thies Lindenthal
Pennsylvania State University, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Massachusetts Institute of Technology (MIT) - Center for Real Estate
Downloads 947 (41,306)
Citation 15

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house prices, rents, fundamentals, bubbles

6.

Housing Rents and Inflation Rates

Journal of Money, Credit and Banking
Number of pages: 28 Posted: 31 May 2016 Last Revised: 01 Feb 2022
Brent W. Ambrose, N. Edward Coulson and Jiro Yoshida
Pennsylvania State University, University of California, Irvine - Paul Merage School of Business and Pennsylvania State University - Smeal College of Business
Downloads 912 (43,524)
Citation 1

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Inflation Measurement, Consumer Price Index (CPI), Personal Consumption Expenditures (PCE), Marginal Rent Index, Repeat Rent Index

7.

Does Regulatory Capital Arbitrage or Asymmetric Information Drive Securitization?

Number of pages: 30 Posted: 22 Jun 2004
Brent W. Ambrose, Michael LaCour-Little and Anthony B. Sanders
Pennsylvania State University, California State University - Fullerton - Department of Finance and George Mason University - School of Business
Downloads 883 (45,454)
Citation 47

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Banks, debt, securitization, regulatory capital

8.

The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis

Dice Center Working Paper No. 2001-1
Number of pages: 37 Posted: 01 Feb 2002
Brent W. Ambrose, Michael LaCour-Little and Anthony B. Sanders
Pennsylvania State University, California State University - Fullerton - Department of Finance and George Mason University - School of Business
Downloads 866 (46,702)
Citation 21

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Mortgage yield spreads, securitization, government-sponsored enterprise

9.

Embedded Options in the Mortgage Contract

Number of pages: 25 Posted: 02 Feb 1999
Brent W. Ambrose and Richard J. Buttimer
Pennsylvania State University and University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law
Downloads 781 (53,781)
Citation 3

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10.

Did the Paycheck Protection Program Help Small Businesses? Evidence from Commercial Mortgage-backed Securities

Number of pages: 75 Posted: 16 Aug 2020 Last Revised: 13 Dec 2022
Sumit Agarwal, Brent W. Ambrose, Luis A. Lopez and Xue Xiao
National University of Singapore, Pennsylvania State University, University of Illinois at Chicago and Virginia Tech - Pamplin College of Business
Downloads 576 (79,641)

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COVID-19, CARES Act, Paycheck Protection Program, Mortgages

11.

Do Appraiser and Borrower Race Affect Mortgage Collateral Valuation?

Number of pages: 59 Posted: 02 Nov 2021 Last Revised: 03 Mar 2023
Brent W. Ambrose, James Conklin, N. Edward Coulson, Moussa Diop and Luis A. Lopez
Pennsylvania State University, University of Georgia, University of California, Irvine - Paul Merage School of Business, University of Southern California and University of Illinois at Chicago
Downloads 565 (81,604)

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Valuation, Appraisal, Discrimination, Mortgage Refinancing

12.

Does Borrower and Broker Race Affect the Cost of Mortgage Credit?

Ambrose, B.W., Conklin, J.N. and Lopez, L.A., "Does borrower and broker race affect the cost of mortgage credit?" The Review of Financial Studies, 2021, 34(2), pp.790-826. https://doi.org/10.1093/rfs/hhaa087
Number of pages: 50 Posted: 25 Jul 2017 Last Revised: 31 Aug 2021
Brent W. Ambrose, James Conklin and Luis A. Lopez
Pennsylvania State University, University of Georgia and University of Illinois at Chicago
Downloads 500 (94,918)
Citation 42

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Discrimination, Credit Rationing, Regulations, Dodd-Frank Act, Mortgages

13.

An Empirical Analysis of Home Equity Loan and Line Performance

Downloads 452 (107,133)

An Empirical Analysis of Home Equity Loan and Line Performance

Number of pages: 44 Posted: 17 Sep 2004
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Chunlin Liu
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Nevada, Reno - College of Business
Downloads 452 (106,056)
Citation 9

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Home Equity Loans and Lines, Prepayment, Capital Regulations

An Empirical Analysis of Home Equity Loan and Line Performance

Posted: 14 Apr 2005
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Chunlin Liu
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Nevada, Reno - College of Business

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Home Equity Loans and Lines, Prepayment, Capital Regulations

14.

Minimum Wage Increases and Eviction Risk

Downloads 395 (119,336)
Citation 1

Minimum Wage Increases and Eviction Risk

Journal of Urban Economics, Forthcoming
Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 08 Dec 2021
Sumit Agarwal, Brent W. Ambrose and Moussa Diop
National University of Singapore, Pennsylvania State University and University of Southern California
Downloads 395 (124,529)
Citation 1

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Minimum Wage Increase, Lease Defaults, Rental Market, Household Income

15.

High Ltv Loans and Credit Risk

Downloads 370 (134,822)
Citation 1

High Ltv Loans and Credit Risk

Number of pages: 39 Posted: 02 Dec 2003
Brent W. Ambrose and Anthony B. Sanders
Pennsylvania State University and George Mason University - School of Business
Downloads 370 (133,779)
Citation 1

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credit risk, high LTV, loan-to-value, mortgage

High LTV Loans and Credit Risk

Posted: 22 Jun 2004
Brent W. Ambrose and Anthony B. Sanders
Pennsylvania State University and George Mason University - School of Business

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Credit risk, high LTV, loan-to-value, mortgage

16.

A Note on Hybrid Mortgages

Number of pages: 26 Posted: 17 Sep 2004
Brent W. Ambrose, Michael LaCour-Little, Zsuzsa R. Huszar and Zsuzsa R. Huszar
Pennsylvania State University, California State University - Fullerton - Department of Finance and Corvinus University of Budapest
Downloads 304 (166,540)
Citation 7

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adjustable rate mortgage, prepayment, default

17.

Credit Rationing, Income Exaggeration, and Adverse Selection in the Mortgage Market

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 21 Dec 2014 Last Revised: 19 Dec 2015
Brent W. Ambrose, James Conklin and Jiro Yoshida
Pennsylvania State University, University of Georgia and Pennsylvania State University - Smeal College of Business
Downloads 287 (176,924)
Citation 28

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Subprime Mortgages, Default, Adverse Selection, Moral Hazard, Reputation, Dodd-Frank Act, Credit Rationing

18.

Credit Market Spillover Effects to the Real Economy: Evidence from Rental Housing Evictions

Number of pages: 62 Posted: 19 Dec 2020 Last Revised: 12 Aug 2022
Brent W. Ambrose, Xudong An and Luis A. Lopez
Pennsylvania State University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Illinois at Chicago
Downloads 286 (177,565)
Citation 1

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Evictions, Rental Housing, Multifamily Mortgages, GSE, COVID-19

19.

The Repeat Rent Index

Review of Economics and Statistics, Forthcoming
Number of pages: 40 Posted: 17 Feb 2013 Last Revised: 13 Sep 2015
Brent W. Ambrose, N. Edward Coulson and Jiro Yoshida
Pennsylvania State University, University of California, Irvine - Paul Merage School of Business and Pennsylvania State University - Smeal College of Business
Downloads 286 (177,565)
Citation 32

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Residential Leases, Repeat Sales Index, Housing

20.

Can Regulation De-bias Appraisers?

Journal of Financial Intermediation, Forthcoming
Number of pages: 35 Posted: 21 Dec 2014 Last Revised: 23 Apr 2019
Sumit Agarwal, Brent W. Ambrose and Vincent Yao
National University of Singapore, Pennsylvania State University and Georgia State University - J. Mack Robinson College of Business
Downloads 285 (178,233)
Citation 21

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mortgages, valuation, financial crisis, regulations, appraisal bias

21.

The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

Number of pages: 39 Posted: 25 May 2009
Sumit Agarwal, Brent W. Ambrose, Henry Hongren Huang and Yildiray Yildirim
National University of Singapore, Pennsylvania State University, National Central University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 278 (182,812)
Citation 1

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leasing valuation, credit risk, endogenous default

22.

Comovement after Joining an Index: Spillovers of Nonfundamental Effects

Number of pages: 49 Posted: 17 Jun 2004
Brent W. Ambrose, Dong Wook Lee and Joe Peek
Pennsylvania State University, Korea University and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 245 (207,259)
Citation 2

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category model, spillover effect, REITs, stock market index

23.

Stock Market Information and Reit Earnings Management

Number of pages: 46 Posted: 01 May 2009
Brent W. Ambrose and Xun Bian
Pennsylvania State University and University of North Texas
Downloads 244 (208,059)
Citation 2

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REIT, Earnings, Market Efficiency

24.

Asymmetric Information in Dynamic Contract Settings: Evidence from the Home Equity Credit Market

Number of pages: 53 Posted: 02 Oct 2007
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Chunlin Liu
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Nevada, Reno - College of Business
Downloads 228 (222,280)
Citation 1

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Asymmetric Information, Contract Frictions, Screening, Banking, Home Equity Lending

25.

Secured Debt and Corporate Performance:Evidence from REITs

Number of pages: 30 Posted: 29 Jan 2010
Brent W. Ambrose, Shaun A. Bond and Joseph T. L. Ooi
Pennsylvania State University, UQ Business School and National University of Singapore (NUS) - Department of Real Estate
Downloads 222 (227,934)
Citation 1

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REITs, Commercial Real Estate, Secured Debt, Performance

26.

Product Market Competition and Corporate Real Estate Investment under Demand Uncertainty

Real Estate Economics, Forthcoming
Number of pages: 75 Posted: 12 Jun 2014 Last Revised: 03 Dec 2015
Brent W. Ambrose, Moussa Diop and Jiro Yoshida
Pennsylvania State University, University of Southern California and Pennsylvania State University - Smeal College of Business
Downloads 214 (235,962)

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strategic investment, entry deterrence, real options, flexibility, firm risk

27.

The Subprime Virus: Theory and Evidence

Number of pages: 36 Posted: 21 May 2010 Last Revised: 03 Feb 2011
Sumit Agarwal, Brent W. Ambrose and Yildiray Yildirim
National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 203 (247,568)
Citation 2

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Subprime, Default, Portfolio Risk

28.

Fallen Angels and Price Pressure

Downloads 201 (249,878)
Citation 14

Fallen Angels and Price Pressure

Number of pages: 44 Posted: 08 Mar 2011
Brent W. Ambrose, Kelly Nianyun Cai and Jean Helwege
Pennsylvania State University, University of Michigan at Dearborn - School of Management and UC Riverside
Downloads 201 (249,406)
Citation 14

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price pressure, sunshine trading, informed trader, fallen angel bonds, insurance

Fallen Angels and Price Pressure

https://doi.org/10.3905/jfi.2012.2012.1.012
Posted: 21 May 2019
Brent W. Ambrose, Kelly Nianyun Cai and Jean Helwege
Pennsylvania State University, University of Michigan at Dearborn - School of Management and UC Riverside

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Price Pressure, Sunshine Trading, Informed Trader, Fallen Angel Bonds, Insurance Companies

29.

Servicers and Mortgage-Backed Securities Default: Theory and Evidence

Downloads 192 (260,396)
Citation 2

Servicers and Mortgage-Backed Securities Default: Theory and Evidence

Number of pages: 38 Posted: 25 Mar 2011
Brent W. Ambrose, Anthony B. Sanders and Abdullah Yavas
Pennsylvania State University, George Mason University - School of Business and University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics
Downloads 192 (260,070)
Citation 2

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Special Severicer, CMBS, Default, Asymmetric Information

Servicers and Mortgage-Backed Securities Default: Theory and Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2014
Brent W. Ambrose, Anthony B. Sanders and Abdullah Yavas
Pennsylvania State University, George Mason University - School of Business and University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics

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CMBS, Servicing, Workouts, Defaults

30.

Past Experiences and Investment Decisions: Evidence from Real Estate Markets

Number of pages: 35 Posted: 04 Jun 2020
Brent W. Ambrose and Lily Shen
Pennsylvania State University and Department of Finance, Clemson University
Downloads 176 (281,207)
Citation 3

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31.

Lender Steering in Residential Mortgage Markets

Real Estate Economics, Forthcoming.
Number of pages: 33 Posted: 06 Oct 2015 Last Revised: 05 May 2017
Sumit Agarwal, Brent W. Ambrose and Vincent Yao
National University of Singapore, Pennsylvania State University and Georgia State University - J. Mack Robinson College of Business
Downloads 171 (288,435)
Citation 6

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Steering, Securitization, Banking Deregulation, Insurance

32.

Joint Liability Lending and Credit Risk: Evidence from the Home Equity Market

Number of pages: 19 Posted: 02 Aug 2010
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Chunlin Liu
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Nevada, Reno - College of Business
Downloads 169 (291,246)

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Consumer Credit, Mortgages, Micro-finance, Information Asymmetry, household finance

33.

Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Impact Your Probability of Default?

Number of pages: 31 Posted: 21 Apr 2010
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Anthony B. Sanders
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and George Mason University - School of Business
Downloads 166 (295,615)
Citation 2

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Subprime mortgages, default, house price appreciation, Externalities

34.

Information in Financial Contracts: Evidence from Securitization Agreements

Number of pages: 71 Posted: 26 Feb 2021 Last Revised: 21 Dec 2022
Brent W. Ambrose, Yiqiang Han, Sanket Korgaonkar and Lily Shen
Pennsylvania State University, Roku Inc., University of Virginia - McIntire School of Commerce and Department of Finance, Clemson University
Downloads 156 (311,478)
Citation 2

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Machine Learning, Neural Network, Financial Contracts, CMBS, Mortgages, Asymmetric Information

35.

Firm Location and the Value-Growth Premium

Number of pages: 63 Posted: 08 Jun 2021 Last Revised: 10 May 2022
Brent W. Ambrose, Yifan Chen and Timothy T. Simin
Pennsylvania State University, Pennsylvania State University and Pennsylvania State University
Downloads 153 (316,730)

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Value, Growth, Value premium, Firm location

36.

Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach

Journal of Real Estate Finance and Economics, Vol. 37, No. 3, 2008
Number of pages: 26 Posted: 01 Oct 2008 Last Revised: 03 Feb 2011
Brent W. Ambrose and Yildiray Yildirim
Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 146 (328,933)
Citation 1

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leasing valuation, credit risk, reduced form model

37.

Does it Pay to Read Your Junk Mail? Evidence of the Effect of Advertising on Home Equity Credit Choices

FRB of Chicago Working Paper No. 2008-09
Number of pages: 60 Posted: 17 Nov 2008 Last Revised: 14 Dec 2008
Sumit Agarwal and Brent W. Ambrose
National University of Singapore and Pennsylvania State University
Downloads 136 (347,906)
Citation 4

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Persuasion, Advertising, Contract Choice, Home-equity Lending

38.

Mortgage Brokers, Origination Fees, Price Transparency and Competition

Downloads 109 (409,754)
Citation 2

Mortgage Brokers, Origination Fees, Price Transparency and Competition

Number of pages: 66 Posted: 26 Sep 2012
Brent W. Ambrose and James Conklin
Pennsylvania State University and University of Georgia
Downloads 109 (412,071)
Citation 1

Abstract:

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Mortgage Brokerage, Competition, Subprime, Cost, Price Transparency

Mortgage Brokers, Origination Fees, Price Transparency and Competition

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Brent W. Ambrose and James Conklin
Pennsylvania State University and University of Georgia

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Mortgage Brokerage, Competition, Subprime, Cost, Price Transparency

39.

Information Asymmetry, Regulations, and Equilibrium Outcomes: Theory and Evidence from the Housing Rental Market

Number of pages: 46 Posted: 12 Oct 2016 Last Revised: 01 Jul 2018
Brent W. Ambrose and Moussa Diop
Pennsylvania State University and University of Southern California
Downloads 104 (423,503)
Citation 10

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Rental Market, Landlord Regulations, Information Asymmetry, Tenant Screening, Affordable Housing

40.

The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 34 Posted: 11 Nov 2010
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Chunlin Liu
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Nevada, Reno - College of Business
Downloads 99 (438,196)
Citation 5

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Information, Contract Frictions, Screening, Banking, Home Equity Lending

41.

Homeownership and Taxes: How the TCJA Altered the Tax Code’s Treatment of Housing

Number of pages: 42 Posted: 19 Apr 2021 Last Revised: 22 Oct 2021
Brent W. Ambrose, Patric Hendershott, David C. Ling and Gary A. McGill
Pennsylvania State University, affiliation not provided to SSRN, University of Florida - Hough Graduate School of Business Administration and University of Florida - Fisher School of Accounting
Downloads 96 (447,155)

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tax policy; homeownership; mortgage interest deduction; net implicit rental income

42.

Reassessing Taylor Rules Using Improved Housing Rent Data

Journal of Macroeconomics 56, 243-257, June 2018
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 05 May 2018
Brent W. Ambrose, N. Edward Coulson and Jiro Yoshida
Pennsylvania State University, University of California, Irvine - Paul Merage School of Business and Pennsylvania State University - Smeal College of Business
Downloads 96 (447,155)
Citation 2

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monetary policy, federal funds rate, Taylor rule, Personal Consumption Expenditures, inflation measures, housing rent

43.

Spillover Effects of Subprime Mortgage Originations: The Effects of Single-Family Mortgage Credit Expansion on the Multifamily Rental Market

Number of pages: 68 Posted: 15 Feb 2014
Brent W. Ambrose and Moussa Diop
Pennsylvania State University and University of Southern California
Downloads 88 (472,646)
Citation 2

Abstract:

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Default; Subprime, Mortgages, Leases, Housing Tenure, Multifamily Housing

44.

The Adjustable Balance Mortgage: Reducing the Value of the Put

Number of pages: 33 Posted: 16 May 2009
Brent W. Ambrose and Richard J. Buttimer
Pennsylvania State University and University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law
Downloads 88 (472,646)
Citation 3

Abstract:

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Mortgage Default, Foreclosure, Modification

45.

Mortgage Brokers, Origination Fees, and Competition

Number of pages: 36 Posted: 26 Mar 2012 Last Revised: 27 Sep 2012
Brent W. Ambrose and James Conklin
Pennsylvania State University and University of Georgia
Downloads 81 (496,946)

Abstract:

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Mortgage Brokerage, Competition, Subprime, Cost

46.

Economic Fundamentals, Capital Expenditures and Asset Dispositions

Number of pages: 31 Posted: 21 Sep 2017 Last Revised: 07 Feb 2019
Brent W. Ambrose and Eva Steiner
Pennsylvania State University and Penn State Smeal College of Business
Downloads 78 (507,951)

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Disposition effect, real assets, real options

47.

Federal Tax Deductions and the Demand for Local Public Goods

Number of pages: 35 Posted: 11 Jan 2022 Last Revised: 23 Jun 2023
Brent W. Ambrose and Maxence Valentin
Pennsylvania State University and Cornell SC Johnson College of Business
Downloads 67 (552,609)

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Local Public Finance, Fiscal Deductions, Voting over Public Services, TCJA, SALT

48.

Pricing Government Credit: A New Method for Determining Government Credit Risk Exposure

Economic Policy Review, Vol. 24, No. 3, 2018
Number of pages: 22 Posted: 10 Dec 2018
Brent W. Ambrose and Zhongyi Yuan
Pennsylvania State University and Pennsylvania State University - Smeal College of Business
Downloads 53 (619,351)
Citation 1

Abstract:

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capital allocation; government credit risk; marginal risk contribution; tail value-at-risk (TVaR)

49.

Online Appendix -- Does Borrower and Broker Race Affect the Cost of Mortgage Credit?

Review of Financial Studies (Forthcoming)
Number of pages: 47 Posted: 01 Jul 2020
Brent W. Ambrose, James Conklin and Luis A. Lopez
Pennsylvania State University, University of Georgia and University of Illinois at Chicago
Downloads 52 (624,606)

Abstract:

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Discrimination, Credit Rationing, Regulations, Dodd-Frank Act, Mortgages

50.

Pricing Upward-Only Adjusting Leases

Downloads 45 (663,992)

Pricing Upward-Only Adjusting Leases

NBER Working Paper No. w7622
Number of pages: 26 Posted: 18 May 2000 Last Revised: 01 May 2022
Brent W. Ambrose, Patric H. Hendershott and Malgorzata M. Klosek
Pennsylvania State University, University of Aberdeen - Centre for Property Research and National Institutes of Health (NIH)
Downloads 45 (679,139)
Citation 2

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Pricing Upward-Only Adjusting Leases

Posted: 17 May 2002
Brent W. Ambrose, Patric H. Hendershott and Malgorzata M. Klosek
Pennsylvania State University, University of Aberdeen - Centre for Property Research and National Institutes of Health (NIH)

Abstract:

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leases, real options, effective rents

51.

Voter-induced Municipal Credit Risk

Number of pages: 80 Posted: 19 Jun 2023 Last Revised: 06 Sep 2023
Brent W. Ambrose, Matthew Gustafson, Maxence Valentin and Zihan Ye
Pennsylvania State University, Pennsylvania State University - Smeal College of Business, Cornell SC Johnson College of Business and University of Tennessee
Downloads 43 (676,006)

Abstract:

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Municipal Bond Risk, Voting, Local Public Finance, Tax Cuts and Jobs Act, Principal-agent Coordination

52.

Risk and Performance of Mutual Funds' Securitized Mortgage Investments

Downloads 0 (1,026,942)

Risk and Performance of Mutual Funds' Securitized Mortgage Investments

Journal of Real Estate Finance and Economics, November 2019, Volume 59, Issue 4, pp 515–548
Posted: 05 Dec 2019
Brent W. Ambrose, Moussa Diop, Walter D'Lima and Mark Thibodeau
Pennsylvania State University, University of Southern California, Florida International University (FIU) - Hollo School of Real Estate and Florida International University (FIU) - Hollo School of Real Estate

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Mortgage securitization; Institutional investors; Non-agency mortgage Market; MBS affiliation, information asymmetry

Risk and Performance of Mutual Funds' Securitized Mortgage Investments

Journal of Real Estate Finance and Economics, 59, pages 515–548 (2019)
Posted: 06 Mar 2020
Brent W. Ambrose, Moussa Diop, Walter D'Lima and Mark Thibodeau
Pennsylvania State University, University of Southern California, Florida International University (FIU) - Hollo School of Real Estate and Florida International University (FIU) - Hollo School of Real Estate

Abstract:

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Mortgage securitization; Institutional investors; Non-agency mortgage market; MBS affiliation; Information asymmetry

53.

Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt

Review of Finance, 2018, 1–37
Posted: 06 Mar 2018
Brent W. Ambrose, Thomas Emmerling, Henry Hongren Huang and Yildiray Yildirim
Pennsylvania State University, Zicklin School of Business, Baruch College - The City University of New York, National Central University and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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Leasing valuation, Credit risk, Endogenous default

54.

The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018, Baruch College Zicklin School of Business Research Paper No. 2018-02-07
Posted: 08 Feb 2018 Last Revised: 27 Feb 2018
Brent W. Ambrose, Michael Shafer and Yildiray Yildirim
Pennsylvania State University, Providence College and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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Commercial Mortgages; Mortgage Spreads; Mortgage Default Rates; Tenant Diversification

55.

Real Estate Risk and Hedge Fund Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Posted: 04 Mar 2016
Brent W. Ambrose, Charles Cao and Walter D'Lima
Pennsylvania State University, Pennsylvania State University and Florida International University (FIU) - Hollo School of Real Estate

Abstract:

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Hedge funds; Real estate; Perofrmance analysis; Portfolio theory

56.

Financial Crisis, Temporary Liquidity Guarantee Program, and the Impacts on the Fixed Income Markets

Systemic Risk: Liquidity Risk, Governance and Financial Stability
Posted: 01 Apr 2013
Brent W. Ambrose, Yiying Cheng and Tao-Hsien Dolly King
Pennsylvania State University, University of St Thomas and University of North Carolina (UNC) at Charlotte - Department of Finance

Abstract:

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FDIC, Temporary Liquidity Guarantee, Financial Crisis, Fixed Income

57.

Financial Crisis, Temporary Liquidity Guarantee Program, and Impacts on the Fixed Income Markets

Midwest Finance Association 2013 Annual Meeting Paper
Posted: 14 Aug 2012 Last Revised: 27 Jun 2014
Brent W. Ambrose, Yiying Cheng and Tao-Hsien Dolly King
Pennsylvania State University, University of St Thomas and University of North Carolina (UNC) at Charlotte - Department of Finance

Abstract:

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58.

Real Estate and Economies of Scale: The Case of Reits

Real Estate Economics, Vol. 33, No. 2, 2005
Posted: 10 Jun 2011
Brent W. Ambrose, Michael J. Highfield and Peter Linneman
Pennsylvania State University, Mississippi State University - Department of Finance and Economics and University of Pennsylvania - Real Estate Department

Abstract:

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59.

Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Affect One's Probability of Default?

Real Estate Economics, 2011
Posted: 10 Oct 2010
Sumit Agarwal, Brent W. Ambrose, Souphala Chomsisengphet and Anthony B. Sanders
National University of Singapore, Pennsylvania State University, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and George Mason University - School of Business

Abstract:

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Subprime mortgages; default; house price appreciation

60.

Asymmetric Information and the Automobile Loan Market

Posted: 08 Jul 2005
Sumit Agarwal, Brent W. Ambrose and Souphala Chomsisengphet
National University of Singapore, Pennsylvania State University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

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Consumer debt, consumption decisions, prepayment, default

61.

Credit Lines and Credit Utilization

Posted: 21 Jun 2004
Brent W. Ambrose, Sumit Agarwal and Chunlin Liu
Pennsylvania State University, National University of Singapore and University of Rhode Island

Abstract:

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Home equity lines, prepayment, banks

62.

Forced Development and Urban Land Prices

Posted: 21 Jun 2004
Brent W. Ambrose
Pennsylvania State University

Abstract:

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Real Options, Development, Government Intervention

63.

Gse Impact on Rural Mortgage Markets

Posted: 21 Jun 2004
Brent W. Ambrose and Richard J. Buttimer
Pennsylvania State University and University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law

Abstract:

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Government Sponsored Enterprise, mortgage markets

64.

Bank and Nonbank Lenders and the Commercial Mortgage Market

Posted: 17 Jul 2002
Brent W. Ambrose, John D. Benjamin and Peter T. Chinloy
Pennsylvania State University, American University - Kogod School of Business and American University - Department of Finance and Real Estate

Abstract:

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commercial mortgages, bank lending, underwriting standards, loan commitments, origination, credit allocation, loan-to-value ratio

65.

Optimal Put Exercise: An Empirical Examination of Conditions for Mortgage Foreclosure

Posted: 15 Jun 2002
Brent W. Ambrose, Yongheng Deng and Charles A. Capone
Pennsylvania State University, Wisconsin School of Business, University of Wisconsin-Madison and Federal Housing Finance Agency

Abstract:

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mortgage default, loss severity, foreclosure

66.

Measuring Potential Gse Funding Advantages

Posted: 03 May 2002
Brent W. Ambrose and Arthur Warga
Pennsylvania State University and University of Houston - Department of Finance

Abstract:

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government sponsored enterprises, yield spreads

67.

A New Spin on the Jumbo/Conforming Loan Rate Differential

Posted: 24 Apr 2002
Brent W. Ambrose, Richard J. Buttimer and Thomas G. Thibodeau
Pennsylvania State University, University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law and University of Colorado at Boulder - Leeds School of Business

Abstract:

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Mortgages, Government Sponsored Enterprises, Mortgage Rate Spreads, House Price Volatility

68.

REIT Economies of Scale: Fact or Fiction?

Posted: 19 Feb 2001
Brent W. Ambrose, Steven R. Ehrlich, William T. Hughes Jr. and Susan M. Wachter
Pennsylvania State University, Government of the United States of America - Office of Policy Development & Research, MIT Realty Advisors and University of Pennsylvania - Wharton School, Department of Real Estate

Abstract:

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REITs, Economies of Scale

69.

Prepayment Risk in Adjustable Rate Mortgages: Some New Evidence

OLIN Working Paper No. 99-03
Posted: 11 Jul 2000
Michael LaCour-Little and Brent W. Ambrose
California State University - Fullerton - Department of Finance and Pennsylvania State University

Abstract:

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70.

The Hazard Rates of First and Second Default

Posted: 02 Nov 1999
Brent W. Ambrose and Charles A. Capone
Pennsylvania State University and Federal Housing Finance Agency

Abstract:

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71.

Credit Restrictions and the Market for Commercial Real Estate Loans

REAL ESTATE ECONOMICS, Vol. 24 No. 1
Posted: 05 Jul 1998
Brent W. Ambrose, John D. Benjamin and Peter T. Chinloy
Pennsylvania State University, American University - Kogod School of Business and American University - Department of Finance and Real Estate

Abstract:

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72.

Pricing Effects in Fannie Mae Agency Bonds

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 11 No. 3, November 1995
Posted: 02 Jul 1998
Brent W. Ambrose and Arthur Warga
Pennsylvania State University and University of Houston - Department of Finance

Abstract:

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73.

Risks and Incentives in Underserved Mortgage Markets

Posted: 15 Nov 1996
Brent W. Ambrose and William N. Goetzmann
Pennsylvania State University and Yale School of Management - International Center for Finance

Abstract:

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74.

Cost-Benefit of Single-Family Foreclosure Alternatives

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 13 No. 2
Posted: 25 Oct 1996
Brent W. Ambrose and Charles A. Capone
Pennsylvania State University and Federal Housing Finance Agency

Abstract:

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