I estimate the extent to which modi cations of privately securitized mortgages increased or forgave debt during the Great Recession and aftermath, from 2008-2014. I nd that loan modi cations weakened household balance sheets by adding $20 billion to household debt, with the net amount of debt added per modi cation doubling from 2010-2014. Using a decomposition analysis, I also nd that the incre...

This study examines whether the change in base rate affects initial yield spread of mortgage-backed securities Korea. We classify whole period into increase or decrease periods and we analyze which factors such as macroeconomic conditions, bond housing market factors, (MBS) characteristics mainly affect MBS spread. find that leading economic index positively (negatively) during (decrease) perio...

I estimate the extent to which modifications of privately securitized mortgages increased or forgave debt during Great Recession and aftermath, from 2008 2014. find that loan weakened household balance sheets by adding $20 billion debt, with net amount added per modification doubling 2010 also increase in is consistent capitalization fees, but not missed interest payments. Capitalization fees s...

Subordination is designed to provide credit risk protection for senior CMBS tranches by allocating the initial credit losses to the more junior tranches. Subordination level should in theory reflect the underlying credit risk of the CMBS pool. In this paper, we test the hypothesis that subordination is purely about credit risk as intended. We find a very weak relation between subordination leve...

We use new TRACE data to investigate the liquidity and pricing of agency mortgagebacked pass-through securities. We distinguish between two trading channels -a To-BeAnnounced (TBA) forward delivery market and a specified-pool market. Institutional specified-pool traders in the deep end of the market have easy access to the TBA market, while retail specified-pool traders in the shallow end of th...

: The objective of this study was to establish the antecedents dividend payout among listed non-financial Companies in Nairobi Securities Exchanges, Kenya, with four specific objectives; effect profitability, capital expenditure, leverage and liquidity on pay-out companies NSE. founded Modigliani miller hypothesis, signalling birds hand fallacy, Agency clientele policy. Using correlation resear...

For single–period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood–ratio–domina...

We investigate the information content of the call (put) Early Exercise Premium, or EEP , defined as the normalized difference in prices between otherwise comparable American and European call (put) options. The call EEP specifically captures investors’ expectations about future lump sum dividend payments as well as other state variables such as conditional volatility and interest rates. From t...