House Price Markups and Mortgage Defaults
研究了同一住房单元因买卖双方偏好、匹配和搜寻成本导致的交易价格差异（即溢价），发现溢价能预测抵押贷款违约和违约后的信用损失，即使控制了贷款价值比等变量。
Abstract The transaction price of identical housing units can vary widely due to heterogeneity in buyer and seller preferences, matching, and search costs, generating what we term “markups” above or below the average market price. We measure markups for 3.4 million purchase‐money mortgages and show that they can predict mortgage defaults and credit losses conditional on default even after accounting for collateral coverage (loan‐to‐value ratio) and a comprehensive set of other covariates. The findings suggest that standard collateral coverage estimation may be inaccurate, with implications for both individual and portfolio‐level credit risk assessment.