#2006-034A "Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?"
by Simona Mola, and Massimo Guidolin
May 2006

Research has documented that the first report an investment bank affiliated analyst issues on a newly listed stock tends to be favorable. Our analysis of 16,824 relationships between analyst teams and established listed companies during 1995-2003 indicates that analyst coverage decisions of seasoned stocks are influenced by their affiliations with investment banks and mutual funds. More...

#2006-033B "Central Bank Intervention with Limited Arbitrage"
by Christopher J. Neely, and Paul A. Weller
May 2006
Revised February 2007

Shleifer and Vishny (1997) pointed out some of the practical and theoretical problems associated with assuming that rational risk-arbitrage would quickly drive asset prices back to long-run equilibrium. More...

PUBLISHED: International Journal of Finance and Economics, April 2007, 12(2), pp. 249-60

#2006-027A "The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing"
by Anthony Pennington-Cross
April 2006

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. More...

#2006-024A "Loan Servicer Heterogeneity and The Termination of Subprime Mortgages"
by Anthony Pennington-Cross, and Giang Ho
April 2006

After a mortgage is originated the borrower promises to make scheduled payments to repay the loan. These payments are sent to the loan servicer, who may be the original lender or some other firm. This firm collects the promised payments and distributes the cash flow (payments) to the appropriate investor/lender. More...

#2006-023A "Subprime Refinancing: Equity Extraction and Mortgage Termination"
by Souphala Chomsisengphet, and Anthony Pennington-Cross
April 2006

This paper examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market while refinancing and assesses the prepayment and default performance of these cash-out refinance loans relative to the rate refinance loans. More...

#2006-022A "Predatory Lending Laws and the Cost of Credit"
by Giang Ho, and Anthony Pennington-Cross
April 2006

Various states and other local jurisdictions have enacted laws intending to reduce predatory and abusive lending in the subprime mortgage market. These laws have created substantial geographic variation in the regulation of mortgage credit. This paper examines whether these laws are associated with a higher or lower cost of credit. More...

#2006-009A "The Impact of Local Predatory Lending Laws on the Flow of Subprime Credit"
by Giang Ho, and Anthony Pennington-Cross
February 2006

Local authorities in North Carolina, and subsequently in at least 23 other states, have enacted laws intending to reduce predatory and abusive lending. While there is substantial variation in the laws, they typically extend the coverage of the Federal Home Ownership and Equity Protection Act (HOEPA) by including home purchase and open end mortgage credit, by lowering annual percentage rate (APR) and fees and points triggers, and by prohibiting or restricting the use of balloon payments and prepayment penalties. More...

FORTHCOMING: Journal of Urban Economics

#2005-049B "The Impact of Local Predatory Lending Laws"
by Giang Ho, and Anthony Pennington-Cross
June 2005
Revised October 2005

Local authorities in North Carolina, and subsequently in at least 23 other states, have enacted laws intending to reduce predatory and abusive lending. While there is substantial variation in the laws, they typically extend the coverage of the Federal Home Ownership and Equity Protection Act (HOEPA) by including home purchase and open-end mortgage credit, by lowering annual percentage rate (APR) and fees and points triggers, and by prohibiting or restricting the use of balloon payments and prepayment penalties. More...

#2005-029A "A Dynamic Look at Subprime Loan Performance"
by Michelle A. Danis, and Anthony Pennington-Cross
May 2005

This paper examines the implications of delinquency on the performance of subprime mortgages. Specifically, we examine whether delinquency has any predictive power of the future performance of a mortgage. More...

PUBLISHED: Journal of Fixed Income, June 2005, 15(1), pp. 28-39

#2005-027B "Non-parametric, Unconditional Quantile Estimation for Efficiency Analysis with an Application to Federal Reserve Check Processing Operations"
by David C. Wheelock, and Paul Wilson
April 2005
Revised February 2007

This paper examines the technical efficiency of U.S. Federal Reserve check processing offices over 1980–2003. More...

PUBLISHED: Journal of Econometrics, July 2008, 145(1-2), pp. 209-25