This chapter reviews the evidence of predictability in US residential and commercial real
estate markets. First, we highlight the main methodologies used in the construction of real …

The purpose of this paper is to understand the institutional features of Chapter 11 from an
empirical examination of thirty firms that have emerged from reorganization. We find the …

We investigate whether the returns of industry portfolios predict stock market movements. In
the US, a significant number of industry returns, including retail, services, commercial real …

This paper puts forward a valuation framework for mortgage‐backed securities. Rather than
imposing an optimal, value‐minimizing call condition, we assume that at each point in time …

We investigate the financial recontracting of firms completing distressed exchanges and those
reorganizing under Chapter 11. We find that recovery rates for creditors, on average, are …

… Due to this simplified return generating structure, Ball and Torous are able to successfully
implement a maximum likelihood estimation procedure. They demonstrate the efficiency of this …

The specification of a statistical distribution which accurately models the behavior of stock
returns continues to be a salient issue in financial economics. With the introduction of …

Statistical inference in predictive regressions depends critically on the stochastic properties
of the posited explanatory variable, in particular, its order of integration. Confidence intervals …

This paper empirically investigates a contingent‐claims model of commercial mortgage
pricing. We find that the magnitude of the observed default premia for a sample of …

This paper describes three insolvency codes, those of the United Kingdom (UK), Germany,
and the United States (US) and compares their efficiency against a number of benchmarks. …