Efficiency in the Mortgage Market: The Borrower's Perspective
利用联邦住房贷款抵押公司的历史数据，分析了1976-1980年间6000多笔抵押贷款的提前还款行为，检验借款人是否按或有债权模型理论行使提前还款选择权。
This paper uses mortgage history data from the Federal Home Loan Mortgage Corporation to analyze the prepayment behavior of homeowners and to test whether borrowers exercise their prepayment options in a manner consistent with contingent claims models. A variety of hazard models are estimated from individual data on more than 6000 mortgages issued during the 1976–1980 period. In these models, it is clear that the extent to which the prepayment option is “in the money” has a strong effect on behavior. However, it is less clear that the option is exercised quite as ruthlessly as the theory predicts.