#2006-058D "Strategic Online-Banking Adoption"
by Roberto Fuentes, Rubén Hernández-Murillo, and Gerard Llobet
October 2006
Revised January 2008

In this paper we study the determinants of banks' decision to adopt a transactional website for their customers. More...

#2006-043A "Foreign Entry and Bank Competition"
by Rajdeep Sengupta
July 2006

Foreign entry and bank competition are modeled as the interaction between asymmetrically informed principals: the entrant uses collateral as a screening device to contest the incumbent's informational advantage. Both better information ex ante and stronger legal protection ex post are shown to facilitate the entry of low-cost outside competitors into credit markets. More...

PUBLISHED: Journal of Financial Economics, May 2007, 84(2), pp. 502-28

#2006-042A "The Termination of Subprime Hybrid and Fixed Rate Mortgages"
by Anthony Pennington-Cross, and Giang Ho
July 2006

Adjustable rate and hybrid loans have been a large and important component of subprime lending in the mortgage market. While maintaining the familiar 30-year term the typical adjustable rate loan in subprime is designed as a hybrid of fixed and adjustable characteristics. More...

#2006-041B "Robust Non-parametric Quantile Estimation of Efficiency and Productivity Change in U.S. Commercial Banking, 1985–2004"
by David C. Wheelock, and Paul Wilson
June 2006
Revised April 2007

This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. More...

FORTHCOMING: Journal of Business and Economic Statistics, July 2009, 27(3), pp. 354-68

#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...