Prepayment risk and holding period for residential mortgages in Singapore - Evidence from condominium transactions data

Journal of Property Investment & Finance

Volumn 18, Issue 6, 2000, Pages 586-602

  Eng Ong, Seow ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Mortgages; Payments; Risk; Singapore

Indexed keywords

EID: 84986156145     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635780010357550     Document Type: Article

References (22)

1. Canner, G.B. and Luckett, C.A. (1990), “Mortgage refinancing”, Federal Reserve Bulletin, Vol. 76 No. 8, pp. 604-12.
2. Carlson, S.J. and Singh, N. (1987), “Mortgage refinancing”, Secondary Mortgage Markets, Vol. 4 No. 4, pp. 11-15.
3. Cox, J.C., Ingersoll, J. and Ross, S. (1980), “An analysis of variable rate loan contracts’’, Journal of Finance, Vol. 35 No. 2, pp. 389-403.
4. Cunningham, D.F. and Capone, C.A. Jr (1990), “The relative termination experience of adjustable to fixed rates”, Journal of Finance, Vol. 45 No. 5, pp. 1687-703.
5. Cutler, S. and Ederer, F. (1958), “Maximum utilization of the life table in analyzing survival”, Journal of Chronic Disorders, pp. 699-712.
6. Dickinson, A. and Heuson, A.J. (1992) “A generalized approach to mortgage refinancing”, unpublished working paper, University of Miami.
7. Dickinson, A. and Heuson, A.J. (1994) “Mortgage prepayments: past and present”, Journal of Real Estate Literature, Vol. 2, pp. 11-33.
8. Giliberto, S.M. and Thibodeau, T.G. (1989), “Modeling conventional mortgage refinancings”, Journal of Real Estate Finance and Economics, pp. 285-99.
9. Green, J. and Shoven, J.B. (1986), “The effects of interest rates on mortgage prepayments”, Journal of Money, Credit and Banking, Vol. 18, pp. 41-59.
10. Greene, W. (1993), Econometric Analysis, 2nd ed., Macmillan, New York, NY.
11. Hendershott, P., Shilling, J.D. and Villani, K.E. (1983), “Measurement of the spread between yields on various mortgage contracts and treasury securities”, AREUEA Journal, Vol. 11 No. 4, pp. 476-90.
12. Heuson, A.J. (1988), “Mortgage terminations and pool characteristics: some additional evidence”, Journal of Financial Research, Vol. 11 No. 2, pp. 143-52.
13. Hu, J. (1990), “The evolution of mortgage research”, Mortgage Banking, Vol. 50 No. 4, pp. 28-39.
14. Khor, A. and Ong, S.E. (1998), “Housing loans: finding the best fit”, Business Times Property Supplement, 15 July, p. 6.
15. Kiefer, N. (1988), “Economic duration data and hazard functions”, Journal of Economic Literature, Vol. 26, pp. 646-79.
16. Lee, H.S. and Ang, W.M. (1998), “MAS looking into setting up a mortgage corp,” BTOnline, 21July.
17. Ong, S.E. (1999a), “The implicit call option in the deposit to purchase property”, Accounting and Business Review.
18. Ong, S.E. (1999b), “Temporal aggregation and distribution biases in transactions-based property price returns”, working paper, National University of Singapore.
19. Richard, S.F. and Roll, R. (1989), “Prepayments on fixed rate mortgage backed securities”, Journal of Portfolio Management, Vol. 15 No. 3, pp. 73-82.
20. Ronn, E., Rubinstein, P. and Pan, F.S. (1995) “An arbitrage-free estimate of prepayment option prices in fixed-rate GNMA mortgage-backed securities”, Real Estate Economics, Vol. 23 No. 1, pp. 1-20.
21. Wong, W.K. (1998), “MAS task force clearing the way for asset securitization”, BTOnline, 27 July.
22. Zorn, P.M. and Lea, H.J. (1989), “Mortgage borrower repayment behavior: a microeconomic analysis of Canadian adjustable rate mortgage data”, AREUEA Journal, Vol. 17 No. 1, pp.118-36.