This paper explores the causal effect of foreclosure on individual well-being. Using plausibly exogenous variation in the timing of interest rate changes on different types of adjustable rate mortgages (ARMs), we find that a 10% rise in foreclosures is associated with a 0.58% and 0.28% decline in current and expected future life satisfaction. These effects are primarily driven by the effects on local

We study Agency Mortgage Real Estate Investment Trusts (Agency MREITs)—shadow banks that invest in guaranteed U.S. Agency mortgage-backed securities (MBS) and that are principally funded with repo debt—to test how quantitative easing (QE) affects financial risk taking. Agency MREIT asset growth is inversely related to the Federal Reserve's Agency mortgage-backed securities (MBS) purchases, reflecting

An extensive literature finds that indices of returns on equity real estate investment trusts (REITs) predict return indices in the private commercial real estate (CRE) market. Using a novel geographically weighted proxy for the quarterly performance of the property types within the local markets in which an REIT is invested, or property portfolio return (PPR), we find a “private predicts public” result

This paper presents the first repeat sales index for residential housing in any U.S. city spanning the late 19th and early 20th centuries, covering Baltimore from 1880 to 1953. Compared to previous data, the index shows larger declines in housing prices during the Depressions of the 1890s and 1930s. I also find higher leverage entering into those periods than previously understood. I conclude that

The market value of U.S. single-family rental assets totals more than $2.3 trillion. We provide the first systematic analysis of total returns to single-family rentals in a long, broad, and granular panel. Total returns are approximately equalized across U.S. cities at 8.5%, similar to average equity returns. On average, net rental yields and house price appreciation each contribute half total returns

The decisions on the siting of hazardous facilities and compensation for nearby landowners depend on an accurate estimation of the negative externalities these facilities place on proximate land uses, primarily residential properties. In this paper, we highlight the sensitivity of these estimates to the treatment of distance from the hazard and to the presence of other nearby externality generating

We investigate two mechanisms that plausibly curtail agency costs in the homeowner-listing agent relationship. Empirically, we find that differences in compensation structures across brokers effectively mitigate agency costs, while additional training associated with licensure made little, if any, difference. The evidence is consistent with managers/partners of a brokerage (principal brokers) having

Home appraisal came under scrutiny for contributing to the home‐price bubble and enabling the origination of risky mortgages that led to the post‐2006 foreclosure crisis. Subsequent regulations tried to minimize or eliminate conflicts of interest and improve valuations. Nonetheless, our study of appraisals completed in 2015 and 2016 find that appraisal bias still occurred. Our analysis delves into

A new assessed value approach is proposed to control for the amount of persistent unobserved quality. The approach to a well‐established two‐stage framework developed by Genesove and Mayer (GM, 2001) is applied, who test the effect of an expected loss on final transaction prices in the housing market. It is shown that the assessed value model effectively mitigates the omitted variable bias and produces

British planning is among the most restrictive in the world and has been restrictive for longer than elsewhere. Restrictive regulation substantially increases the costs of office space and, especially in London, increases the house prices. Partly in response to the crisis in housing supply an automatic right to convert offices to residential use was introduced in 2013. Some major office locations in

This study empirically tests the volatility effects on land development options using the Singapore's government land sales data from 1996 to 2018. We find that development land option premiums increase by 5% on average with one standard deviation increase in conditional volatility, which is consistent with the prediction of the standard real options model. However, the high volatility effects on development

I estimate the effects of second‐home buying (existing homeowners acquiring additional properties) on the housing boom and bust, by constructing a new measure and using a new identification strategy based on the rise in out‐of‐town demand for second homes in vacation areas during the housing boom. Areas with plausibly exogenous higher second‐home buying experienced a sharper boom and bust: faster growth

This study examines the effects of home ownership on household stockholdings using Japanese microdata. To disentangle the effect of property value and mortgage debt on households’ stockholdings as a share of financial assets, we use current and time‐of‐purchase house price indices as instruments. Our estimates suggest that an exogenous increase in property value is associated with an increase in stockholdings

Using the National Survey of Mortgage Originations, we document that borrowers who are more financially sophisticated (measured by their self‐reported understanding of the mortgage process) and more exposed to competition (measured by the number of lenders they considered) pay lower mortgage rate spreads. Yet, competition is not a substitute for sophistication: the benefits of competition accrue to

We generalize the classic Williams (1998, Review of Financial Studies, 11, 239–280) brokerage model by introducing diffused effort and asset heterogeneity. The term “diffused effort” refers to the fact that an agent can cross‐utilize effort spending on one listing to another . One counterintuitive finding in Williams' paper is the absence of the agency problem . As a special case in our model, we recover

We show that jumbo mortgage rates were above conforming rates before the financial crisis, consistent with previous studies, and that the spread between them widened during the crisis. However, the spread turned negative in 2013 and remained so through 2019, with jumbo rates about a quarter percentage point below conforming rates. A rise in the government‐sponsored enterprise (GSE) guarantee fees appears

We use recentered influence function regressions to decompose the differences in the distribution of sales prices across five stages of the business cycle in Tokyo for 1986–2016. Tokyo's housing market went through a period of rapid appreciation in prices during this time, followed by a long period of decline and a more recent increase. We find that a substantial portion of the change in the distribution

We find evidence of taste‐based discrimination against rival affiliations in the online market for rental accommodation. Airbnb hosts in college towns increase their listing prices more than hotels on home football games against rival teams. By setting listing prices too high as a result of their affiliation bias against rival fans, hosts experience a 30% reduction in rental income. The overestimation

Using a unique setting with significant cross‐market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance. We further document a significant positive relation between local asset concentration and portfolio returns

We use Google search frequency to construct a measure of aggregate sentiment in housing markets—Financial, Economic, and Real Estate (FEAR) Index—and analyze its relationship to housing returns. We find that housing markets react inversely to changes in FEAR Index, which captures negative sentiment, and that market characteristics affect the strength of this relationship. More financially distressed

Mortgage loss‐given‐default (LGD) increased significantly when house prices plummeted during the financial crisis; but it has remained over 40% in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs postcrisis is due to a combination of an overhang of crisis‐era foreclosures and prolonged liquidation timelines, which have offset higher sales recoveries

We develop a housing consumption capital asset pricing model for economies with an antichresis rent market wherein property owners receive up‐front lump‐sum deposits from renters instead of monthly rents and use it as leverage to acquire housing assets for rent. We estimate the model using antichresis rent market and stock market data for Korea. We find that housing consumption and nonhousing consumption

We construct matched panel data sets of adult children with their parents to study the role of lagged parental attributes on subsequent home ownership decisions between 2000 and 2012. Earlier research has demonstrated intergenerational wealth transfers from parents to children are an important source of upfront equity used to purchase a first home, although parental attributes are often omitted as

We study the microlevel evolution of residential house prices using data on repeat sales on Manhattan Island from 2004 to 2015. We document that price comovement, even within a ZIP code, is a highly local and persistent phenomenon. The strength of such comovements vanishes with both spatial and temporal distance. Local underperformance is more persistent than local overperformance, particularly when

This study examines the effects of regulations targeting Airbnb and other short‐term rental (STR) suppliers in the urban center of New Orleans. I show that although the new ordinances reduced participation in the STR market as intended, STR usage actually increased in the neighborhoods adjacent to areas the most affected by the regulations. I subsequently show that the new regulations depressed property

Using the Michigan Survey, I show that consumers' house price expectations depend upon the recent history of house price developments in their city of residence. Forecast errors are predictable: people systematically underestimate momentum and neglect mean reversion, remaining over‐optimistic for several quarters after a prolonged trend of house price growth, and vice versa. Housing appreciation also

Following recent developments in the asset pricing literature on geographic concentration, we complement classic theories based on information asymmetry and explain the short‐run performance of real estate investment trust (REIT) initial public offerings (IPOs) through an investor base mechanism. We analyze the U.S. market and show that issuers are more likely to underprice when a REIT is more geographically

Home appraisals are produced for millions of residential mortgage transactions each year. In addition to preventing fraudulent transactions, an important benefit of appraisals when they report a value below the contract price is that they help borrowers renegotiate prices with sellers. However, appraised values are rarely below the purchase contract price: Some 30% of appraisals in our sample are exactly

This research provides evidence on the role of information asymmetry and personal affiliations in housing transactions using a novel dataset that allows observation of detailed information about the property, broker, and seller. Sellers holding a real estate license are found to obtain about 1.6% (or $3,200) more for their properties than unlicensed sellers, and sellers personally affiliated to a real

We study the effect of a change in trustees' incentives to monitor servicers in CMBS markets. Our identification strategy rests on variation in servicer–trustee affiliation that arises from mergers. We present evidence that affiliation is associated with excessive principal and interest advances on delinquent loans that are not in the interest of bondholders. We observe that a servicer–trustee affiliation