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An Empirical Investigation of the Contingent‐Claims Approach to Pricing Residential Mortgage Debt

S. Michael Giliberto and David Ling ()

Real Estate Economics, 1992, vol. 20, issue 3, 393-426

Abstract: Despite the growth of theoretical mortgage‐pricing research, few empirical tests have been published. The primary objective of this paper is to provide an empirical test of the contingent‐claims approach to pricing residential mortgages. This is accomplished by examining the differences between contract mortgage rates generated by the theoretical contingent‐claims model and corresponding actual rates observed for 121 consecutive months from January 1981 through January 1991. We find that the contingent‐claims model produces an unbiased prediction of changes in actual rates.

Date: 1992
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Citations: View citations in EconPapers (10)

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https://doi.org/10.1111/1540-6229.00589

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Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

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