Keeping up with Sarah

City Size affects Default Rates of Loans

"Controlling for leverage, properties in the 25 largest markets general perform better than the norm, and assets in non-MSAs typically under-perform, often by a factor of two."

Gordon, Sally and Leslie Kizer. "U.S. CMBS Loan Performance: Impact of Seasoning, Leverage and Location on Probability of Default." Structured Finance Special Report. Moodys Investor Services. November 8, 2004.

Bibliographic additions

Davidson, Andrew. Securitization: Structuring and Investment Analysis.John Wiley & Sons, Inc. Hoboken. 2003.

This would be good to read.

Bibliographic additions

Tavakoli, Janet M. Collateralized Debt Obligations and Structured Finance. John Wiley & Sons, Inc. Hoboken. 2003.

This would be very good to read.

Bibliography additions

Taff, Laurence G. Investing in Mortgage Securities. St. Lucie Press. 2003.

About investing in residential mortgage backed securities. ILL from Baker.

http://www2.amanet.org/books/catalog/0814407390.htm

Books to get

The analysis of structured securities : precise risk measurement and...

Title: The analysis of structured securities : precise risk measurement and capital allocation / Sylvain Raynes and Ann Rutledge.
Author/Contributor: Raynes, Sylvain.
Publisher/Date: Oxford ; New York : Oxford University Press, 2003.
Description: xii, 449 p. : ill. ; 25 cm.
Subjects: Securities.
Asset-backed financing.
Mortgage-backed securities.
Investment analysis.
Notes: Includes bibliographical references and index.
Other Authors/Contributors: Rutledge, Ann.


ISBN: 0195152735 (hardcover : alk. paper)
Primary Material: Book

addressing the use of demographic data in pricing

Uses international demographic data (by country ) to compare the population characteristics in regards to aging and employment to excess growth of the S&P over a short term risk-free investment.

Do Demographic Changes Affect Risk Premiums? Evidence from International Data
Andrew Ang, Angela Maddaloni
NBER Working Paper No. w9677
Issued in May 2003

addressing the locality bias

The Geography of Stock Market Participation: The Influence of Communities and Local Firms
Jeffrey R. Brown, Zoran Ivkovich, Paul A. Smith, Scott Weisbenner
NBER Working Paper No. w10235
Issued in January 2004
"We know that around the world investors have a 'home equity bias' ....mounting evidence supports the idea that some of this behavior is information-based. For example...professional money managers lean towards local stocks and that their local investments outperform their investments made in more distant firms."

This provides a review of the literature that shows the need for addressing locality bias.

Addressing demography and pricing

Glaeser's work puts forward an equation for rent pricing=population and per capital income.

"Why is Manhattan So Expensive? Regulation and the Rise in House Prices" Edward L. Glaeser, Joseph Gyourko, Raven Saks

NBER Working Paper No. w10124
Issued in November 2003

Need to read this book

DiPasquale, Denise.

Urban economics and real estate markets / Denise DiPasquale, William C. Wheaton.

IMPORTANT

This article studies a disaggregated data set, county property appraiser data, to track the number of new single-family housing units built per square mile in one county in Florida over 20 years. It suggests a list of independent variables that determine the resulting develoment. This article provides a framework for the research I want to do - compare the CMBS b-piece purchases to a number of demographic and capital market data variables.

Smersh, Greg T., Marc T. Smith and Arthur L. Schwartz Jr. 2003. "Factors Affecting Residential Property Development Patterns." Journal of Real Estate Research, vol. 25, no. 1, pp. 61-75.