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

Posted: 10 Nov 2009 Last revised: 16 Nov 2011

Anthony Pennington-Cross

Marquette University - Dept. of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: November 9, 2009

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

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: https://ssrn.com/abstract=1502857

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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