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Primary Article

Expected Mobility

Part of the Prepayment Puzzle

John M. Clapp, John P. Harding and Michael Lacour-Little
The Journal of Fixed Income Summer 2000, 10 (1) 68-78; DOI: https://doi.org/10.3905/jfi.2000.319238
John M. Clapp
A professor at the University of Connecticut School of Business Administration in Storrs, Connecticut.
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John P. Harding
An assistant professor at the University of Connecticut School of Business Administration.
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Michael Lacour-Little
Director of financial research at CitiMortgage, Inc. and adjunct professor of real estate finance at Washington University in St. Louis.
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Abstract

This research combines information on mortgage terminations with housing market data to distinguish borrowers who prepay their mortgages because they are moving from those who prepay to refinance without moving. It uses a closed-form valuation formula to compute the callable value of the mortgage and property level data to estimate current loan-to-value ratios. Results show that expected mobility affects borrower behavior in an asymmetric fashion. Borrowers with high expected mobility are less likely to refinance, but borrowers with strong refinancing incentives are not more likely to move. Differentiating movers from refinancers provides a clearer picture of the responsiveness of prepayments to interest rate movements.

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The Journal of Fixed Income
Vol. 10, Issue 1
Summer 2000
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Expected Mobility
John M. Clapp, John P. Harding, Michael Lacour-Little
The Journal of Fixed Income Jun 2000, 10 (1) 68-78; DOI: 10.3905/jfi.2000.319238

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Expected Mobility
John M. Clapp, John P. Harding, Michael Lacour-Little
The Journal of Fixed Income Jun 2000, 10 (1) 68-78; DOI: 10.3905/jfi.2000.319238
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