Search Results - "TOROUS, WALTER N."

Complexity in Structured Finance by GHENT, ANDRA C., TOROUS, WALTER N., VALKANOV, ROSSEN I.

“…We study complexity in the market for securitized products, a market at the heart of the financial crisis of 2007–9. The complexity of these products rose…”
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The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence by Ball, Clifford A., Torous, Walter N.

“…This paper estimates a stochastic volatility model of short-term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a…”
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Commercial Real Estate as an Asset Class by Ghent, Andra C, Torous, Walter N, Valkanov, Rossen I

“…We survey the properties of commercial real estate (CRE) as an asset class. We first illustrate its importance relative to the US economy and to other asset…”
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Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products by Ghent, Andra C., Miltersen, Kristian R., Torous, Walter N.

“…We provide an analytic valuation framework to value second lien mortgages and first lien mortgages when homeowners can take out a second lien. We use the…”
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An Empirical Investigation of U.S. Firms in Reorganization by FRANKS, JULIAN R., TOROUS, WALTER N.

“…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…”
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Prepayment and the Valuation of Mortgage-Backed Securities by SCHWARTZ, EDUARDO S., TOROUS, WALTER N.

“…This paper puts forward a valuation framework for mortgage-backed securities. Rather than imposing an optimal, value-minimizing call condition, we assume that…”
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Commercial Office Space: Testing the Implications of Real Options Models with Competitive Interactions by Schwartz, Eduardo S., Torous, Walter N.

“…We test the implications of real option pricing models with competitive interactions for commercial real estate development. The competitive nature of a local…”
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Dollar Cost Averaging by Brennan, Michael J., Li, Feifei, Torous, Walter N.

“…Dollar Cost Averaging is a strategy for purchasing equity securities that is widely recommended by professional investment advisors and commentators, but which…”
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Stochastic correlation across international stock markets by Ball, Clifford A, Torous, Walter N

“…This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent…”
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A Simplified Jump Process for Common Stock Returns by Ball, Clifford A., Torous, Walter N.

“…The specification of a statistical distribution which accurately models the behavior of stock returns continues to be a salient issue in financial economics…”
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The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns by HAUGEN, ROBERT A., TALMOR, ELI, TOROUS, WALTER N.

“…This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allows a direct…”
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Assessing proxies for market prices of thinly traded assets with scheduled cash flows by Boudry, Walter I., Liu, Crocker H., Mühlhofer, Tobias, Torous, Walter N.

“…Pseudo-market prices of infrequently traded assets with scheduled cash flows – commercial real estate appraisals and matrix prices of commercial mortgage…”
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Prepayment and the Valuation of Mortgage-Backed Securities by Schwartz, Eduardo S., Torous, Walter N.

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Expected Returns and Expected Growth in Rents of Commercial Real Estate by Plazzi, Alberto, Torous, Walter, Valkanov, Rossen

“…Commercial real estate expected returns and expected rent growth rates are time-varying. Relying on transactions data from a cross-section of U.S. metropolitan…”
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A Comparison of US, UK, and German Insolvency Codes by Franks, Julian R., Nyborg, Kjell G., Torous, Walter N.

“…This paper describes three insolvency codes, those of the United Kingdom (UK), Germany, and the United States (US) and compares their efficiency against a…”
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Do industries lead stock markets? by Torous, Walter, Valkanov, Rossen, Hong, Harrison

“…We investigate whether the returns of industry portfolios predict stock market movements. In the US, a significant number of industry returns, including…”
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On Jumps in Common Stock Prices and Their Impact on Call Option Pricing by BALL, CLIFFORD A., TOROUS, WALTER N.

“…The Black-Scholes call option pricing model exhibits systematic empirical biases. The Merton call option pricing model, which explicitly admits jumps in the…”
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Unit roots and the estimation of interest rate dynamics by Ball, Clifford A., Torous, Walter N.

“…This paper investigates the time series estimation of Cox, Ingersoll, and Ross's square-root, mean-reverting specification for interest rate dynamics. For a…”
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Individual Decision Making and Investor Welfare by Brennan, Michael J., Torous, Walter N.

“…This article analyses and quantifies the costs of suboptimal decision making for an investor with a multi‐period horizon. In light of the empirical evidence…”
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Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities by Schwartz, Eduardo S., Torous, Walter N.

“…This article investigates the interaction of prepayment and default decisions in the valuation of mortgage pass-through securities. Even though a mortgage…”
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