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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.58,Issue4,P.544-566

语言

英文

关键字

House appreciation; Probability of default; HOMEOWNERSHIP; SALES

作者单位

[Hayunga, Darren K.] Univ Georgia, Dept Insurance Legal Studies & Real Estate, Athens, GA 30602 USA. [Pace, R. Kelley] Louisiana State Univ, Dept Finance, Real Estate, Baton Rouge, LA 70803 USA. [Zhu, Shuang] Kansas State Univ, Dept Finance, Manhattan, KS 66506 USA. Hayunga, DK (reprint author), Univ Georgia, Dept Insurance Legal Studies & Real Estate, Athens, GA 30602 USA. E-Mail: hayunga@uga.edu; kelley@spatial.us; shuangzhu@ksu.edu

摘要

Maintenance and improvements affect house values and thus the observed pecuniary return. Whether due to lack of liquidity or the presence of strategic incentives, some borrowers have a higher probability of default and this could lead to lower maintenance and investment in the property. We test this hypothesis using a sample of properties on which we have repeat sales and mortgage information. We find that the predicted probability of default at the time of the original purchase significantly reduces subsequent observed pecuniary return. For instance, an increase in the probability of default from 22% to 32% leads to an 0.5% reduction in appreciation per year. Because the future house price varies with borrower risk, we examine many simulated scenarios to analyze the implications of the findings. From these scenarios, we observe that the highest risk borrowers can experience approximately 3% less appreciation per year than the lowest risk borrowers.