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The Role of the Initial Discount in the Pricing of Adjustable-Rate Mortgages

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  • Sprecher, C. R.
  • Willman, Elliott

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  • Sprecher, C. R. & Willman, Elliott, 2000. "The Role of the Initial Discount in the Pricing of Adjustable-Rate Mortgages," Journal of Housing Economics, Elsevier, vol. 9(1-2), pages 64-75, March.
    • Handle: RePEc:eee:jhouse:v:9:y:2000:i:1-2:p:64-75
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    References listed on IDEAS

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    1. Dhillon, Upinder S & Shilling, James D & Sirmans, C F, 1987. "Choosing between Fixed and Adjustable Rate Mortgages: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(2), pages 260-267, May.
    2. Baesel, Jerome B. & Biger, Nahum, 1980. "The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 457-468, June.
    3. Rosenthal Stuart S. & Zorn Peter, 1993. "Household Mobility, Asymmetric Information, and the Pricing of Mortgage Contract Rates," Journal of Urban Economics, Elsevier, vol. 33(2), pages 235-253, March.
    4. Phillips, Richard A & Vanderhoff, James H, 1992. "Adjustable Rate Mortgages and Housing Demand: The Impact of Initial Rate Discounts," The Journal of Real Estate Finance and Economics, Springer, vol. 5(3), pages 269-279, September.
    5. Ferderer, J. Peter & Shadbegian, Ronald, 1993. "A comparison of alternative term premium estimates," The Quarterly Review of Economics and Finance, Elsevier, vol. 33(2), pages 179-195.
    6. Patric H. Hendershott & James D. Shilling, 1985. "Valuing ARM Rate Caps: Implications of 1970–84 Interest Rate Behavior," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 317-332, September.
    7. Arvan, Lanny & Brueckner, Jan K, 1986. "Efficient Contracts in Credit Markets Subject to Interest Rate Risk: AnApplication of Raviv's Insurance Model," American Economic Review, American Economic Association, vol. 76(1), pages 259-263, March.
    8. Patric H. Hendershott, 1985. "Pricing Adjustable Rate Mortgages," NBER Working Papers 1548, National Bureau of Economic Research, Inc.
    9. Richard K. Green & James D. Shilling, 1997. "The Impact of Initial‐Year Discounts on ARM Prepayments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 373-385, September.
    10. Jan K. Brueckner, 1993. "Why Do We Have ARMs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 333-345, September.
    11. Dokko, Yoon & Edelstein, Robert H, 1991. "Interest Rate Risk and Optimal Design of Mortgage Instruments," The Journal of Real Estate Finance and Economics, Springer, vol. 4(1), pages 59-68, March.
    12. James B. Kau & Donald C. Keenan & Walter J. Muller & James F. Epperson, 1990. "The Valuation and Analysis of Adjustable Rate Mortgages," Management Science, INFORMS, vol. 36(12), pages 1417-1431, December.
    13. Stephen A. Buser & Patric H. Hendershott & Anthony B. Sanders, 1985. "Pricing Life‐of‐Loan Rate Caps on Default‐Free Adjustable‐Rate Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 248-260, September.
    14. Sa-Aadu, J & Sirmans, C F, 1989. "The Pricing of Adjustable Rate Mortgage Contracts," The Journal of Real Estate Finance and Economics, Springer, vol. 2(4), pages 253-266, December.
    15. Cunningham, Donald F & Capone, Charles A, Jr, 1990. "The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages," Journal of Finance, American Finance Association, vol. 45(5), pages 1687-1703, December.
    16. Brueckner, Jan K., 1992. "Borrower mobility, self-selection, and the relative prices of fixed- and adjustable-rate mortgages," Journal of Financial Intermediation, Elsevier, vol. 2(4), pages 401-421, December.
    17. James VanderHoff, 1996. "Adjustable and Fixed Rate Mortgage Termination, Option Values and Local Market Conditions: An Empirical Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(3), pages 379-406, September.
    18. Richard A. Phillips & James VanderHoff, 1991. "Adjustable- versus Fixed-Rate Mortgage Choice: The Role of Initial Rate Discounts," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 39-52.
    19. Brueckner, Jan K & Follain, James R, 1988. "The Rise and Fall of the ARM: An Econometric Analysis of Mortgage Choice," The Review of Economics and Statistics, MIT Press, vol. 70(1), pages 93-102, February.
    20. Sprecher, C. R. & Willman, Elliott, 1998. "The Margin Paradox in Adjustable-Rate Mortgages," Journal of Housing Economics, Elsevier, vol. 7(2), pages 180-190, June.
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