Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market

• 成果类型: Article
• 署名作者: Agarwal, Sumit; Ben-David, Itzhak; Yao, Vincent
• 署名单位: National University of Singapore; University System of Ohio; Ohio State University; National Bureau of Economic Research; Federal National Mortgage Association (Fannie Mae)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.2002
• 发表日期: 2015
• 页码: 2220-2240
• 关键词: collateral valuation; lending; banks; loans; default; Financial crisis

摘要

Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged transactions, around critical leverage thresholds, and for transactions mediated through a broker. Mortgages with inflated valuations default more often. Lenders account for 60%-90% of the bias through pricing.