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We provide new evidence of cyclical variation in mortgage default option exercise. For a given level of negative equity, borrower propensity to default rose markedly during the financial crisis and among hard-hit metropolitan areas. Results show that shifts in borrower behavior were more salient to crisis-period defaults than were adverse shocks to home(More)
The dramatic expansion in subprime mortgage credit that fueled a remarkable boom and bust in the US housing market offers an opportunity to study linkages across markets. While many studies have examined the spillover effects of subprime credit expansion to other financial markets, the fundamental linkage to other housing markets remains unclear. Our study(More)
This paper theoretically and empirically analyzes the interactions among capacity investments, product market competition, and the risk of corporate value. In our model, the incumbent firm can invest in inflexible firm-specific capital before observing a demand shock by taking account of its efficiency and entry deterrence effect. Alternatively, the firm(More)
This paper theoretically and empirically analyzes the interactions among capacity investments, product market competition, and firm risk. In our model, firms can invest in inflexible or flexible capital. Our model predicts that firm risk is higher for more capital-intensive firms operating in a more concentrated market. This prediction arises because(More)
This paper theoretically and empirically analyzes the interactions among corporate real estate investment, product market competition, and firm risk. In our model, firms own strategic real estate or lease generic real estate. Our model predicts that strategic real estate ownership is positively correlated with industry concentration and negatively related(More)
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