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Current real estate statistical valuation involves the estimation of parameters within a posited specification. Suchparametric estimation requires judgment concerning model (1) variables; and (2) functional form. In contrast,nonparametric... more
Current real estate statistical valuation involves the estimation of parameters within a posited specification. Suchparametric estimation requires judgment concerning model (1) variables; and (2) functional form. In contrast,nonparametric regression estimation requires attention to (1) but permits greatly reduced attention to (2). Parametric estimators functionally model the parameters and variables affectingE(y¦x) while nonparametric estimators directly modelpdf(y, x) and henceE(y¦x).
Research Interests: Real Estate, Mathematics, Econometrics, Nonparametric Statistics, Applied Economics, and 13 moreRegression Analysis, Estimation, Nonparametric Regression, Real Estate Economics and Property Finance, Parametric Estimation, Estimator, Parametric Statistics, Nonparametric Estimation, Kernel Estimate, Functional Form, Hedonic price, Finance and Investment Banking, and Hedonic Model
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Abstract This paper provides empirical evidence that a strong statutory right of redemption leads to a statistically significant and an economically large impact in reducing bankruptcy filings. Under the statutory right of redemption,... more
Abstract This paper provides empirical evidence that a strong statutory right of redemption leads to a statistically significant and an economically large impact in reducing bankruptcy filings. Under the statutory right of redemption, borrowers can repurchase the property after the foreclosure auction at a certain price. Implementations of the statutory right of redemption, however, vary substantially among states. When categorizing the redemption rights from an economic perspective, we find that a strong redemption right leads to a greater than 30% decrease in the odds that a borrower with a defaulted mortgage will file for bankruptcy.
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... 1865 843830, fax: (+ 44) 1865 853333. e-mail: permissions@ elsevier. com. Requests may also be completed on-line via the Elsevier homepage (http://www. elsevier. com/locate/permissions). In the USA, users may clear permissions ...
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We report in this chapter our experience in collaboration across boundaries from working on an interdisciplinary project funded by the National Science Foundation under the Dynamics of Coupled Natural-Human Systems program. The project... more
We report in this chapter our experience in collaboration across boundaries from working on an interdisciplinary project funded by the National Science Foundation under the Dynamics of Coupled Natural-Human Systems program. The project investigates the sustainability of the Mississippi River Delta (MRD), which is considered one of the most vulnerable coastal zones in the continental United States and the world. Our overarching research question is: will the MRD reach a tipping point that would make it difficult to sustain in the future? The project consists of seven components, each led by investigators from disciplines including hydrology, sedimentology, ecology, geography, political science, economics, and finance. We conducted a survey of the team members to obtain their opinions on the challenges, benefits, and suggestions for improvement regarding collaboration across disciplinary boundaries. The results provide insights into the development of best practice for collaboration across boundaries. Survey results suggest that a successful interdisciplinary project would need a detailed research plan with timelines and expected results stated, and the plan would need to be followed through. Finding collaborators who have similar priorities, can deliver the results on time, and continue engagement in the research is difficult, but the reward in making it happen is gratifying because it will ultimately be beneficial to advancing the science and practice of sustaining complex natural-human systems.
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Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to... more
Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At one extreme, a portfolio of foreclosed mortgage loans becomes a portfolio of real estate whose returns exhibit substantial cross-sectional and spatial dependence. Near the other extreme, almost all loans perform and yield constant returns, which do not correlate with other performing loan returns. This suggests that loan performance effectively censors the random returns of the underlying properties. Following the statistical properties of the correlations among censored variables, the authors build off this foundation and show how the loan return correlations will rise as economic conditions deteriorate and the defaulting loans reveal the underlying housing correlations. In this chapter, the a...
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Many borrowers make extra principal payments on their mortgages (curtailers). Some of these curtailers subsequently go through foreclosure and lose any benefits from their curtailments. Such curtailers reveal ex-ante non-strategic... more
Many borrowers make extra principal payments on their mortgages (curtailers). Some of these curtailers subsequently go through foreclosure and lose any benefits from their curtailments. Such curtailers reveal ex-ante non-strategic preferences towards default. We contrast the default sensitivity to leverage of curtailers vis-a-vis noncurtailers to isolate the strategic component of default. Our results show between 2008 and 2012 that the strategic component of default was less than 27% of overall default. We demonstrate robustness of the findings to measures of borrower liquidity, sample compositions, and legal settings that shift the value of strategic default.
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A pressing question facing the Mississippi River Delta (MRD), like many deltaic communities around the world, is: Will the system be sustainable in the future given the threats of sea level rise, land loss, natural disasters, and... more
A pressing question facing the Mississippi River Delta (MRD), like many deltaic communities around the world, is: Will the system be sustainable in the future given the threats of sea level rise, land loss, natural disasters, and depleting natural resources? An integrated coastal modeling framework that incorporates both the natural and human components of these communities, and their interactions with both pulse and press stressors, is needed to help improve our understanding of coastal resilience. However, studying the coastal communities using a coupled natural-human system (CNH) approach is difficult. This paper presents a CNH modeling framework to analyze coastal resilience. We first describe such a CNH modeling framework through a case study of the Lower Mississippi River Delta in coastal Louisiana, USA. Persistent land loss and associated population decrease in the study region, a result of interplays between human and natural factors, are a serious threat to the sustainabili...
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Abstract Spatial econometric models rely on the weight matrix W to specify dependence. However, formation of W involves scalings of rows and columns. We provide a closed-form for the similarity in results between the common eigenvalue and... more
Abstract Spatial econometric models rely on the weight matrix W to specify dependence. However, formation of W involves scalings of rows and columns. We provide a closed-form for the similarity in results between the common eigenvalue and row-stochastic scalings.
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... Eric Blankmeyera,Ã , James P. LeSagea, JR Stutzmana, Kris Joseph Knoxb and R. Kelley Pacec ... be designed to provide the right incentives in view of an employee's abilities and responsibilities (Barkema and Gomez-mejia,... more
... Eric Blankmeyera,Ã , James P. LeSagea, JR Stutzmana, Kris Joseph Knoxb and R. Kelley Pacec ... be designed to provide the right incentives in view of an employee's abilities and responsibilities (Barkema and Gomez-mejia, 1998; Bergmann and Scarpello, 2005; Mlikovich and ...