Introduction
Data and Methodology
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(I) Resale type indicators: we begin by categorizing observations into two major groups based on the previous owners’ property holding time: (1) the “normal” sample, in which for each transaction, the previous owner held the properties for at least one month before resale; and (2) the “same-month flip” sample, in which for each transaction, the previous owner resold the property in the same month that he/she purchased it. Our reference group will be the normal sample. Essentially the “same-month flip” sample consists of transactions with expert sellers who are able to arbitrage price differences possibly through double-escrow sales. Again, this is a rare event, occurring in less than 1% of the data. It will be used to contrast the normal trades in the single family housing market. Ideally we would differentiate the two samples based on whether a resale occurs on the same day as the purchase. Unfortunately, the transaction date information in our dataset is limited to month and year, instead of complete date, thus we use the same-month transactions to identify expert flips. Our data also provides an indicator for REO and short sale (“SS”). In the normal sample we can distinguish REO sales, SS, and “regular” sales which are those not characterized as REO or SS.13 Our focus will be the normal sample excluding resales of properties acquired via REO or SS, but we also examine the subsets of properties acquired as REO and as SS separately.
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(II) Flip variables: Using the “normal” sample, we will explore the differences between flip transactions and non-flip transactions. The flip dummy value is 1 if the transaction is a flip, and 0 if otherwise. We use a two-year holding period as the main cutoff point, as those who resell within two years will lose up to $250,000 ($500,000 for a married couple filing jointly) of capital gain exclusion when selling, provided that the property was their primary residence.14 Our data may, and almost certain does, include investment-oriented transactions where the owner never occupies the property as his or her principal residence. Under such circumstances, the two-year holding period is not the relevant timeframe, rather tax benefits arise if the property is held for at least one year allowing for long-term capital gains treatment. Accordingly, we create an additional flip dummy variable, the “1-year flip” indicator variable. Among other analyses, we can compare how “1-year flips” differ from other transactions. While more common than expert flips, 1-year flips are also relatively rare, representing about 8% of all transactions in our data. Given the availability of listing date from the MLS data, we are also able to examine transactions listed for resale within the 1-year or 2-year window of purchase, regardless of whether they are eventually sold within those timeframes. We characterize these transactions as apparently motivated to be short-term resales, even though some of them are not succeeded.15 We characterize these with a “flip attempt” dummy variable, which takes the value of 1 if the property is listed for resale within 2 years of purchase, and a “1-year flip attempt” dummy variable, which takes the value of 1 if the property is listed for resale within 1 year of purchase. We also define a sale as a “fire sale” if its listing time and sale time are within the same month and sale price is less than 75% of the purchase price of the house. Fire sales, as one might expect, stay on the market for a very short period of time (less than one month) and transact at quite low prices (about $222,000 on average in our data).
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(III) Performance measurement variables: We evaluate the performance of a house sale transaction on multiple dimensions. (1) Capital gain speed, which is the capital gain rate (that is, the difference between the sale price and the purchase price divided by the purchase price) divided by the number of months held; (2) Abnormal capital gain speed, that is, the difference between capital gain speed and the change in the FHFA MSA level house price index during the holding period also divided by the number of months held; (3) Attempted capital gain speed, which is the attempted capital gain rate (equal to the difference between the listing price and the purchase price divided by the purchase price) divided by the number of attempted house holding months (equal to the holding months till listing time, with the length of TOM, which is unknown when the property is listed, ignored); and (4) Attempted abnormal capital gain speed, that is, the difference between the house’s attempted capital gain speed and the MSA level FHFA housing price index change rate during the attempted holding period divided by the number of attempted house holding months. Note that among our robustness tests we also adjust performance measures for estimated transaction costs and tax effects, as discussed later. In addition, we also construct variables to measure the: (5) Listing price adjustment rate, which is the difference between the sale price and the listing price, divided by the listing price; and (6) Listing price adjustment speed, which is the listing price adjustment rate divided by this house’s time on market. These are measures of mark-down and speed of mark-down adjustment.16
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(IV) Potential determinants for flip and flip performance: We consider the following possible determinants for housing flips and their performances: (1) Property characteristics, which include the building year, building size, and lot size. We consider only these three characteristic variables because others (such as number of stories, bedrooms, and bathrooms) have too many missing data. (2) Property loan factors, including the original LTV ratio and loan status (such as delinquent or pending foreclosure). (3) Measurements for the local MSA-level housing and mortgage market conditions, which include the MSA-level FHFA HPI (Housing Price Index)17 annual returns at the property purchase date, listing month and sale month, and MSA-level percentages of loans that are 90-days delinquent, in foreclosure, REO, auctions, pre-foreclosure, or non-owner occupied. (4) Measures of capital market conditions, including the 3-month T-bill rate, 30-year fixed mortgage rate, term spread (calculated as the difference between the yield on the Moody’s Aaa-rated long-term bonds and the three-month Treasury rate), credit spread (calculated as the difference between the yield on the Moody’s Aaa-rated long-term bonds and the Baa-rated long-term bonds), yield curve (calculated as the ratio of the 10-year Treasury bond rate and the 2-year Treasury note rate), and annual return on the S&P 500 index.
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[Hypothesis 1] Arbitrage plays a role in a flip sale during the bubble period, while financial constraints play a role in a flip sale during the crisis period.
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[Hypothesis 2] A flip sale is more likely to generate better holding period investment performance than a non-flip property sale.
Descriptive Analysis
Panel A. All regular sales vs its REO-purchase and Shortsale-purchase subsamples | |||||||||
All | REO | Shortsale | All vs REO | All vs SS | |||||
Variable | Mean | Mean | Mean | Mean Diff. | Mean Diff. | ||||
purchase year | 2004 | 2007 | 2009 | 4 *** | 6 *** | ||||
sale year | 2008 | 2010 | 2012 | 2 *** | 4 *** | ||||
listing year | 2008 | 2010 | 2012 | 2 *** | 4 *** | ||||
year built | 1978 | 1979 | 1980 | 1 *** | 3 *** | ||||
living sqf | 1972.41 | 1869.69 | 1962.66 | −102.72 *** | −9.75 | ||||
land sqf | 12,000 | 11,932 | 10,636 | −68 *** | −1365 *** | ||||
sale price | 366,566 | 234,629 | 290,287 | −131,937 *** | −76,280 | ||||
TOM | 3.45 | 3.37 | 3.36 | −0.08 *** | −0.09 *** | ||||
holding month | 55.58 | 37.66 | 31.98 | −17.92 *** | −23.60 *** | ||||
holding month attempt | 53.14 | 34.99 | 30.01 | −18.15 *** | −23.13 *** | ||||
MSA HPI return on the purchase quarter | 7.56% | −1.96% | −4.50% | −9.52% *** | −12.06% *** | ||||
MSA HPI return on the listing quarter | 3.92% | 2.32% | 2.58% | −1.60% *** | −1.34% *** | ||||
MSA HPI return on the sale quarter | 3.75% | 2.85% | 3.57% | −0.90% *** | −0.18% *** | ||||
MSA loan count at listing month | 582,590 | 546,971 | 559,878 | −35,619 *** | −22,712 | ||||
MSA loan % with 90 day delinquency at listing month | 4.18% | 5.14% | 6.40% | 0.95% *** | 2.21% *** | ||||
MSA loan % with foreclosure at listing month | 1.87% | 2.12% | 3.03% | 0.25% *** | 1.16% *** | ||||
MSA loan % with REO at listing month | 0.36% | 0.52% | 0.47% | 0.15% *** | 0.11% *** | ||||
MSA loan % with auction at listing month | 0.12% | 0.18% | 0.18% | 0.06% *** | 0.06% *** | ||||
MSA loan % with pre-foreclosure at listing month | 0.29% | 0.36% | 0.36% | 0.08% *** | 0.07% *** | ||||
MSA loan % without owner occupation at listing month | 0.0000% | 0.0000% | 0.0000% | 0.0000% *** | 0.0000% *** | ||||
MSA loan count at sale month | 582,098 | 544,550 | 555,607 | −37,548 *** | −26,491 | ||||
MSA loan % with 90 day delinquency at sale month | 4.28% | 5.08% | 6.24% | 0.81% *** | 1.96% *** | ||||
MSA loan % with foreclosure at sale month | 1.92% | 2.09% | 2.95% | 0.17% *** | 1.03% *** | ||||
MSA loan % with REO at sale month | 0.37% | 0.50% | 0.45% | 0.13% *** | 0.09% | ||||
MSA loan % with auction at sale month | 0.12% | 0.18% | 0.18% | 0.06% *** | 0.06% *** | ||||
MSA loan % with pre-foreclosure at sale month | 0.29% | 0.35% | 0.34% | 0.06% *** | 0.05% *** | ||||
MSA loan % without owner occupation at sale month | 0.0000% | 0.0000% | 0.0000% | 0.0000% *** | 0.0000% | ||||
3-month T bill rate at listing month | 1.82 | 0.89 | 0.24 | −0.92 *** | −1.57 *** | ||||
30-year fixed mortgage rate at listing month term spread at listing month = AAA corporate bond rate- 3 month T bill | 5.32 | 4.69 | 4.17 | −0.63 *** | −1.15 *** | ||||
Rate default spread at listing month = BAA corporate bond rate- AAA | 3.28 | 3.78 | 4.05 | 0.50 *** | 0.77 *** | ||||
Corporate bond rate | 1.10 | 1.14 | 1.10 | 0.04 *** | 0.00 *** | ||||
Yield curve at listing month = 10 year T bond rate/2 year T note rate | 3.41 | 5.00 | 6.35 | 1.60 *** | 2.94 *** | ||||
SP 500 annual return at listing month | 0.07 | 0.09 | 0.12 | 0.02 *** | 0.05 *** | ||||
3-month T bill rate at sale month | 1.77 | 0.83 | 0.19 | −0.94 *** | −1.58 *** | ||||
30-year fixed mortgage rate at sale month | 5.30 | 4.67 | 4.18 | −0.63 *** | −1.12 *** | ||||
Term spread at sale month = AAA corporate bond rate- 3 month T bill rate | 3.31 | 3.83 | 4.13 | 0.53 *** | 0.82 *** | ||||
Default spread at sale month = BAA corporate bond rate- AAA corporate bond rate | 1.09 | 1.11 | 1.05 | 0.02 *** | −0.04 *** | ||||
yield curve at sale month = 10 year T bond rate/2 year T note rate | 3.57 | 5.24 | 6.64 | 1.67 *** | 3.06 *** | ||||
SP 500 annual return at sale month | 7.59% | 10.18% | 14.08% | 2.59% *** | 6.49% | ||||
2-year flip dummy | 0.1952 | 0.3476 | 0.3742 | 0.1525 *** | 0.1790 *** | ||||
2-year flip attempt dummy | 0.2356 | 0.3897 | 0.4235 | 0.1541 *** | 0.1878 *** | ||||
1-year flip dummy | 0.0756 | 0.1973 | 0.1874 | 0.1217 *** | 0.1117 *** | ||||
1-year flip attempt dummy | 0.1055 | 0.2465 | 0.2375 | 0.1410 *** | 0.1320 | ||||
Expert flip dummy | 0.0062 | 0.0005 | 0.0144 | −0.0057 *** | 0.0082 *** | ||||
Expert flip attempt dummy | 0.0168 | 0.0180 | 0.0418 | 0.0012 *** | 0.0250 *** | ||||
Firesale dummy | 0.0125 | 0.0058 | 0.0030 | −0.0067 *** | −0.0094 | ||||
Normal 2-year flip dummy | 0.1890 | 0.3472 | 0.3598 | 0.1582 *** | 0.1708 *** | ||||
Normal 2-year flip attempt dummy | 0.2188 | 0.3717 | 0.3817 | 0.1529 *** | 0.1629 *** | ||||
Original LTV | 83.78% | 87.19% | 85.26% | 3.41% *** | 1.48% *** | ||||
Foreclosure dummy | 0.1179 | 0.7477 | 0.0606 | 0.6297 *** | −0.0573 *** | ||||
Bubble dummy = 1 if sale in Jan 2000 to June 2007 | 0.41 | 0.16 | 0.01 | −0.25 *** | −0.40 *** | ||||
Crisis dummy = 1 if sale in July 2007 to September 2009 | 0.19 | 0.15 | 0.07 | −0.04 *** | −0.12 *** | ||||
Rebound dummy = 1 if sale after September 2009 | 0.40 | 0.69 | 0.92 | 0.29 *** | 0.52 *** | ||||
Bubble dummy attempt = 1 if listing in Jan 2000 to June 2007 | 0.44 | 0.18 | 0.02 | −0.26 *** | −0.43 *** | ||||
Crisis dummy attempt = 1 if listing in July 2007 to September 2009 | 0.18 | 0.16 | 0.09 | −0.02 *** | −0.09 *** | ||||
Rebound dummy attempt = 1 if listing after September 2009 | 0.38 | 0.66 | 0.89 | 0.28 *** | 0.52 *** | ||||
Gain speed = capital gain rate by sale/holding months by sale | 0.97% | 2.69% | 2.32% | 1.72% *** | 1.35% *** | ||||
Abnormal gain speed = gain speed - MSA monthly FHFA HPI return rate | 0.53% | 2.69% | 2.39% | 2.16% *** | 1.86% *** | ||||
Attempt gain speed = capital gain rate by listing/holding months by listing | 1.39% | 4.86% | 3.86% | 3.47% *** | 2.47% *** | ||||
Attempt abnormal gain speed = attempt gain speed - MSA monthly FHFA HPI return rate | 0.94% | 4.91% | 4.02% | 3.98% *** | 3.08% | ||||
Listing price adjustment rate = (sale price-list price)/list price | −1.96% | −1.87% | −1.91% | 0.10% *** | 0.06% *** | ||||
Listing price adjustment speed = listing price adjustment rate/TOM | −0.63% | −0.72% | −0.72% | −0.08% *** | −0.09% *** | ||||
Number of loan observations | 390,002 | 13,106 | 3613 | ||||||
Panel B. All regular sales and its normal-flip subsample and non-flip subsample during different periods -Highlights | |||||||||
All | Normal flips | Non-flips | |||||||
Bubble | Crisis | Rebound | Bubble | Crisis | Rebound | Bubble | Crisis | Rebound | |
Variable | Mean | Mean | Mean | Mean | Mean | Mean | Mean | Mean | Mean |
TOM | 2.74 | 3.86 | 3.98 | 2.63 | 3.58 | 3.14 | 2.79 | 3.89 | 4.04 |
Holding month | 33.38 | 53.28 | 79.21 | 13.61 | 14.44 | 13.49 | 43.52 | 59.34 | 85.02 |
Holding month attempt | 31.48 | 50.25 | 76.59 | 11.75 | 11.49 | 11.00 | 41.20 | 55.90 | 81.65 |
MSA HPI return on the purchase quarter | 9.95% | 7.85% | 5.00% | 12.20% | 2.75% | −3.06% | 8.83% | 8.68% | 5.67% |
MSA HPI return on the listing quarter | 11.62% | −3.09% | −0.66% | 12.94% | −1.79% | 0.07% | 10.97% | −3.27% | −0.71% |
MSA HPI return on the sale quarter | 10.95% | −4.57% | 0.28% | 12.49% | −3.22% | 0.88% | 10.18% | −4.77% | 0.24% |
MSA loan % with foreclosure at listing month | 0.56% | 1.50% | 3.38% | 0.52% | 1.27% | 3.09% | 0.58% | 1.53% | 3.40% |
MSA loan % with foreclosure at sale month | 0.56% | 1.77% | 3.37% | 0.51% | 1.46% | 3.05% | 0.59% | 1.81% | 3.39% |
3-month T bill rate at sale month | 3.39 | 1.82 | 0.09 | 3.10 | 2.17 | 0.14 | 3.54 | 1.78 | 0.09 |
30-year fixed mortgage rate at sale month | 6.13 | 5.90 | 4.19 | 6.16 | 6.00 | 4.20 | 6.11 | 5.89 | 4.18 |
Term spread at sale month = AAA corp bond rate- 3 month T bill rate | 2.17 | 3.74 | 4.26 | 2.58 | 3.41 | 4.23 | 1.96 | 3.79 | 4.26 |
Default spread at sale mo = BAA corp bond rate- AAA corp bond rate | 0.90 | 1.57 | 1.05 | 0.92 | 1.49 | 1.04 | 0.89 | 1.59 | 1.05 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 1.34 | 2.09 | 6.52 | 1.40 | 1.90 | 6.41 | 1.31 | 2.12 | 6.53 |
SP 500 annual return at sale month | 8.01% | −11.56% | 16.01% | 5.31% | −8.32% | 15.95% | 9.41% | −12.01% | 16.01% |
2-year flip dummy | 0.3366 | 0.1334 | 0.0799 | 1.0000 | 1.0000 | 1.0000 | 0.0000 | 0.0000 | 0.0000 |
2-year flip attempt dummy | 0.3948 | 0.1779 | 0.1005 | 0.9914 | 0.9940 | 0.9966 | 0.0920 | 0.0523 | 0.0227 |
Firesale dummy | 0.0020 | 0.0146 | 0.0221 | 0.0031 | 0.0167 | 0.0032 | 0.0014 | 0.0143 | 0.0237 |
Normal 2-year flip dummy | 0.3310 | 0.1286 | 0.0725 | 1.0000 | 1.0000 | 1.0000 | 0.0000 | 0.0000 | 0.0000 |
Normal 2-year flip attempt dummy | 0.3762 | 0.1644 | 0.0839 | 0.9551 | 0.9537 | 0.9531 | 0.0904 | 0.0482 | 0.0161 |
Original LTV | 85.31% | 83.78% | 82.21% | 85.13% | 82.83% | 81.59% | 85.42% | 83.91% | 82.26% |
Foreclosure dummy | 0.0412 | 0.1125 | 0.1985 | 0.0432 | 0.1778 | 0.2734 | 0.0402 | 0.1031 | 0.1936 |
Bubble dummy = 1 if sale in Jan 2000 to June 2007 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 |
crisis dummy = 1 if sale in July 2007 to September 2009 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 |
Rebound dummy = 1 if sale after September 2009 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 |
Gain speed = capital gain rate by sale/holding months by sale | 1.77% | 0.56% | 0.34% | 3.05% | 2.25% | 4.09% | 1.15% | 0.31% | 0.05% |
Abnormal gain speed = gain speed - MSA monthly FHFA HPI return rate | 0.75% | 0.33% | 0.39% | 1.98% | 2.48% | 4.07% | 0.14% | 0.01% | 0.10% |
Attempt gain speed = capital gain rate by listing/holding months by listing | 2.34% | 0.96% | 0.64% | 4.50% | 4.67% | 7.58% | 1.28% | 0.41% | 0.09% |
Attempt abnormal gain speed=attempt gain speed - MSA FHFA HPI month return rate | 1.31% | 0.65% | 0.69% | 3.44% | 4.80% | 7.64% | 0.27% | 0.05% | 0.15% |
Listing price adjustment rate = (sale price-list price)/list price | −1.08% | −2.92% | −2.42% | −1.01% | −2.70% | −2.11% | −1.11% | −2.94% | −2.44% |
Listing price adjustment speed = listing price adjustment rate/TOM | −0.33% | −1.00% | −0.76% | −0.37% | −1.01% | −0.77% | −0.32% | −1.00% | −0.76% |
Number of loan observations | 159,963 | 72,713 | 157,326 | 52,941 | 9348 | 11,409 | 106,113 | 63,015 | 144,762 |
Panel C. 1-year normal flips versus non 1-year flips, same-month flips and (2-year) normal flips - Highlights | |||||||||
1-year normal flips | Non 1-year flips | Same-mo flips | Normal flips | ||||||
Bubble | Crisis | Rebound | Bubble | Crisis | Rebound | All periods | All periods | ||
Mean | Mean | Mean | Mean | Mean | Mean | Mean | Mean | ||
TOM | 2.39 | 2.97 | 2.74 | 2.79 | 3.89 | 4.01 | 0.00 | 2.83 | |
Holding month | 6.92 | 6.94 | 6.76 | 37.07 | 55.29 | 81.33 | 0.00 | 13.70 | |
Holding month attempt | 5.36 | 4.57 | 4.55 | 35.04 | 52.16 | 78.64 | 0.00 | 11.60 | |
MSA HPI return on the purchase quarter | 13.79% | −0.97% | −1.38% | 9.42% | 8.23% | 5.18% | 2.82% | 8.64% | |
MSA HPI return on the listing quarter | 14.27% | −2.24% | 0.30% | 11.25% | −3.12% | −0.69% | 2.60% | 9.08% | |
MSA HPI return on the sale quarter | 14.07% | −3.27% | 1.11% | 10.51% | −4.62% | 0.26% | 2.81% | 8.70% | |
MSA loan % with foreclosure at listing month | 0.47% | 1.30% | 2.99% | 0.57% | 1.50% | 3.39% | 2.16% | 1.01% | |
MSA loan % with foreclosure at sale month | 0.46% | 1.46% | 2.95% | 0.58% | 1.78% | 3.38% | 2.23% | 1.02% | |
3-month T bill rate at sale month | 3.14 | 2.09 | 0.13 | 3.43 | 1.81 | 0.09 | 1.43 | 2.53 | |
30-year fixed mortgage rate at sale month | 6.18 | 5.96 | 4.19 | 6.12 | 5.90 | 4.19 | 5.30 | 5.84 | |
Term spread at sale month = AAA corp bond rate- 3 month T bill rate | 2.57 | 3.48 | 4.23 | 2.12 | 3.75 | 4.26 | 3.78 | 2.94 | |
Default spread at sale mo = BAA corp bond rate- AAA corp bond rate | 0.90 | 1.53 | 1.04 | 0.90 | 1.58 | 1.05 | 1.11 | 1.01 | |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 1.38 | 1.96 | 6.42 | 1.34 | 2.10 | 6.52 | 4.10 | 2.24 | |
SP 500 annual return at sale month | 5.25% | −9.20% | 15.82% | 8.40% | −11.67% | 16.02% | 5.98% | 5.23% | |
2-year flip dummy | 1.0000 | 1.0000 | 1.0000 | 0.2440 | 0.0959 | 0.0530 | 1.0000 | 1.0000 | |
2-year flip attempt dummy | 0.9935 | 0.9970 | 0.9989 | 0.3112 | 0.1425 | 0.0742 | 0.9959 | 0.9925 | |
Firesale dummy | 0.0041 | 0.0053 | 0.0036 | 0.0017 | 0.0150 | 0.0226 | 0.0050 | 0.0049 | |
Normal 2-year flip dummy | 1.0000 | 1.0000 | 1.0000 | 0.2375 | 0.0909 | 0.0454 | 0.0000 | 1.0000 | |
Normal 2-year flip attempt dummy | 0.9063 | 0.9072 | 0.9243 | 0.3021 | 0.1323 | 0.0594 | 0.0108 | 0.9546 | |
Original LTV | 84.82% | 82.83% | 80.33% | 85.38% | 83.82% | 82.27% | 83.09% | 84.29% | |
Foreclosure dummy | 0.0457 | 0.2706 | 0.3381 | 0.0405 | 0.1057 | 0.1944 | 0.0588 | 0.0959 | |
Bubble dummy = 1 if sale in Jan 2000 to June 2007 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 0.38 | 0.72 | |
Crisis dummy = 1 if sale in July 2007 to September 2009 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.14 | 0.13 | |
Rebound dummy = 1 if sale after September 2009 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 | 1.00 | 0.48 | 0.15 | |
Gain speed = capital gain rate by sale/holding months by sale | 5.30% | 5.70% | 8.73% | 1.28% | 0.33% | 0.10% | 0.00% | 3.11% | |
Abnormal gain speed = gain speed - MSA monthly FHFA HPI return rate | 4.17% | 6.04% | 8.58% | 0.27% | 0.08% | 0.15% | 0.00% | 2.36% | |
Attempt gain speed = capital gain rate by listing/holding months by listing | 7.94% | 11.28% | 16.72% | 1.56% | 0.51% | 0.17% | 0.10% | 4.99% | |
Attempt abnormal gain speed=attempt gain speed - MSA FHFA HPI month return rate | 6.84% | 11.43% | 16.60% | 0.55% | 0.19% | 0.22% | 0.09% | 4.25% | |
Listing price adjustment rate = (sale price-list price)/list price | −0.80% | −2.53% | −1.80% | −1.12% | −2.93% | −2.44% | −2.59% | −1.39% | |
Listing price adjustment speed = listing price adjustment rate/TOM | −0.31% | −1.06% | −0.70% | −0.34% | −1.00% | −0.77% | −0.70% | −0.51% | |
Number of loan observations | 19,602 | 3016 | 4466 | 140,361 | 69,697 | 152,860 | 2414 | 73,698 | |
Panel D. Fire sales versus normal flips and non-flip sales - Highlights | |||||||||
Fire sales | Normal flips | Non-flips | |||||||
All periods | Rebound | Rebound | |||||||
Variable | Mean | Mean | Mean | ||||||
TOM | 0.83 | 3.14 | 4.04 | ||||||
Holding month | 61.67 | 13.49 | 85.02 | ||||||
Holding month attempt | 61.49 | 11.00 | 81.65 | ||||||
MSA HPI return on the purchase quarter | 11.15% | −3.06% | 5.67% | ||||||
MSA HPI return on the listing quarter | −2.96% | 0.07% | −0.71% | ||||||
MSA HPI return on the sale quarter | −2.73% | 0.88% | 0.24% | ||||||
MSA loan % with foreclosure at listing month | 3.34% | 3.09% | 3.40% | ||||||
MSA loan % with foreclosure at sale month | 3.33% | 3.05% | 3.39% | ||||||
3-month T bill rate at sale month | 0.49 | 0.14 | 0.09 | ||||||
30-year fixed mortgage rate at sale month | 4.66 | 4.20 | 4.18 | ||||||
Term spread at sale month = AAA corp bond rate- 3 month T bill rate | 4.23 | 4.23 | 4.26 | ||||||
Default spread at sale mo = BAA corp bond rate- AAA corp bond rate | 1.25 | 1.04 | 1.05 | ||||||
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 5.15 | 6.41 | 6.53 | ||||||
SP 500 annual return at sale month | 6.63% | 15.95% | 16.01% | ||||||
2-year flip dummy | 0.0764 | 1.0000 | 0.0000 | ||||||
2-year flip attempt dummy | 0.0780 | 0.9966 | 0.0227 | ||||||
Firesale dummy | 1.0000 | 0.0032 | 0.0237 | ||||||
normal 2-year flip dummy | 0.0739 | 1.0000 | 0.0000 | ||||||
Normal 2-year flip attempt dummy | 0.0743 | 0.9531 | 0.0161 | ||||||
Original LTV | 86.14% | 81.59% | 82.26% | ||||||
Foreclosure dummy | 0.5983 | 0.2734 | 0.1936 | ||||||
Bubble dummy = 1 if sale in Jan 2000 to June 2007 | 0.07 | 0.00 | 0.00 | ||||||
Crisis dummy = 1 if sale in July 2007 to September 2009 | 0.22 | 0.00 | 0.00 | ||||||
Rebound dummy = 1 if sale after September 2009 | 0.72 | 1.00 | 1.00 | ||||||
Gain speed = capital gain rate by sale/holding months by sale | −1.16% | 4.09% | 0.05% | ||||||
Abnormal gain speed = gain speed - MSA monthly FHFA HPI return rate | −0.86% | 4.07% | 0.10% | ||||||
Attempt gain speed = capital gain rate by listing/holding months by listing | −1.15% | 7.58% | 0.09% | ||||||
Attempt abnormal gain speed=attempt gain speed - MSA FHFA HPI month return rate | −0.85% | 7.64% | 0.15% | ||||||
Listing price adjustment rate = (sale price-list price)/list price | −1.77% | −2.11% | −2.44% | ||||||
Listing price adjustment speed = listing price adjustment rate/TOM | −1.38% | −0.77% | −0.76% | ||||||
Number of loan observations | 4857 | 11,409 | 144,762 |
Comparing REO and Short Sale Acquisitions to the Full Population
Comparing Resales across Time Periods
1-Year Flips
Same-Month Flips
Fire Sales
Unsuccessful Flips
Result on Drivers for Flips
Flip Attempts
[All periods] | [Bubble] | [Crisis] | [Rebound] | |
---|---|---|---|---|
Variable | coef. | coef. | coef. | coef. |
[Panel A] All regular sales - dependent variable: (2-year) flip attempt dummy | ||||
Intercept | −1.727 *** | −7.355 *** | 4.524 *** | 4.243 *** |
Year built | −0.0004 ** | 0.0024 *** | −0.0023 *** | −0.0031 *** |
Living sqf | 0.0001 *** | 0.0001 *** | 0.0001 *** | 0.0000 *** |
MSA HPI return on the purchase quarter | −1.832 *** | 10.204 *** | −14.240 *** | −14.968 *** |
MSA HPI return on the listing quarter | 3.194 *** | 0.236 ** | −0.116 | −1.811 *** |
MSA loan % with foreclosure at listing month | −1.535 *** | 23.974 *** | −16.144 *** | −4.564 *** |
Default spread at listing month = BAA corporate bond rate- AAA corporate bond rate | 0.057 *** | −0.161 ** | 0.024 | 0.013 |
Yield curve at listing month = 10 year T bond rate/2 year T note rate | −0.014 | −0.082 ** | −0.217 *** | −0.005 |
Original LTV | −0.220 *** | 0.422 *** | −0.885 *** | −0.654 *** |
Foreclosure dummy | 0.399 *** | 0.275 *** | 0.543 *** | 0.194 *** |
Listing year dummies | Yes | Yes | Yes | Yes |
Number of observations | 348,714 | 140,910 | 66,703 | 141,101 |
[Panel B] All regular sales - dependent variable: 1-year flip attempt dummy | ||||
Intercept | 2.693 *** | −1.502 *** | 11.915 *** | 10.507 *** |
Year built | −0.0031 *** | −0.0008 *** | −0.0059 *** | −0.0066 *** |
Living sqf | 0.0000 *** | 0.0001 *** | 0.0000 | −0.0001 *** |
MSA HPI return on the purchase quarter | 0.268 *** | 10.067 *** | −36.935 *** | −10.198 *** |
MSA HPI return on the listing quarter | 3.460 *** | 0.903 *** | 5.702 *** | −0.139 |
MSA loan % with foreclosure at listing month | −2.224 *** | 32.050 *** | −31.152 *** | −3.359 *** |
Default spread at listing month = BAA corporate bond rate- AAA corporate bond rate | 0.034 | −0.718 *** | 0.047 | −0.050 |
Yield curve at listing month = 10 year T bond rate/2 year T note rate | −0.005 | −0.322 *** | −0.323 *** | 0.031 * |
Original LTV | −0.440 *** | 0.166 *** | −1.220 *** | −1.203 *** |
Foreclosure dummy | 0.617 *** | 0.319 *** | 0.631 *** | 0.549 *** |
Listing year dummies | Yes | Yes | Yes | Yes |
Number of observations | 348,714 | 140,910 | 66,703 | 141,101 |
[Panel C] Purchased as REOs - dependent variable: (2-year) flip attempt dummy | ||||
Intercept | 9.322 *** | 8.517 ** | −0.168 | 8.698 *** |
Year built | −0.0048 *** | −0.0041 ** | 0.0012 | −0.0043 *** |
Living sqf | −0.0001 *** | −0.0001 * | −0.0003 *** | −0.0001 ** |
MSA HPI return on the purchase quarter | −1.732 *** | 6.589 *** | −45.755 *** | −0.192 |
MSA HPI return on the listing quarter | −3.815 *** | −6.484 *** | 8.393 *** | −3.760 *** |
MSA loan % with foreclosure at listing month | 5.360 *** | 20.354 ** | −19.377 | 6.459 *** |
Default spread at listing month = BAA corporate bond rate- AAA corporate bond rate | 0.178 *** | −0.520 | 0.214 | −0.181 |
Yield curve at listing month = 10 year T bond rate/2 year T note rate | −0.014 | −0.592 * | 0.017 | −0.002 |
Original LTV | −1.633 *** | 0.148 | −1.495 *** | −2.058 *** |
Foreclosure dummy | 0.333 *** | 0.279 *** | 0.161 | 0.360 *** |
Listing year dummies | Yes | Yes | Yes | Yes |
Number of observations | 12,028 | 2020 | 1798 | 8210 |
[Panel D] Purchased as shortsales - dependent variable: (2-year) flip attempt dummy | ||||
Intercept | 4.475 | −10.608 | 23.601 * | 3.113 |
Year built | −0.0024 | −0.1681 | −0.0130 * | −0.0016 |
Living sqf | 0.0000 | 0.0008 | 0.0003 | 0.0000 |
MSA HPI return on the purchase quarter | 7.722 *** | 74.185 | −4.132 | 7.997 *** |
MSA HPI return on the listing quarter | −0.948 | 125.200 | −3.208 | −0.610 |
MSA loan % with foreclosure at listing month | 9.654 *** | 924.600 | −11.811 | 9.819 *** |
Default spread at listing month = BAA corporate bond rate- AAA corporate bond rate | −0.161 | −166.000 | −0.055 | −0.236 |
Yield curve at listing month = 10 year T bond rate/2 year T note rate | 0.072 | 530.500 | 0.203 | 0.076 |
Original LTV | −1.113 *** | −36.775 | 1.310 | −1.246 *** |
Foreclosure dummy | −0.618 *** | −0.803 | −0.776 | −0.606 *** |
Listing year dummies | Yes | Yes | Yes | Yes |
Number of observations | 3267 | 28 | 239 | 3000 |
Successful Flips
Variable | [All periods] coef. | [Bubble] coef. | [Crisis] coef. | [Rebound] coef. |
---|---|---|---|---|
[Panel A] All regular sales - dependent variable: (2-year) flip dummy | ||||
Intercept | −1.345 *** | −7.886 *** | 6.376 *** | 5.859 *** |
Year built | −0.0005 *** | 0.0025 *** | −0.0031 *** | −0.0036 *** |
Living sqf | 0.0000 *** | 0.0001 *** | 0.0001 *** | 0.0000 |
MSA HPI return on the purchase quarter | −1.082 *** | 10.888 *** | −23.281 *** | −13.982 *** |
MSA HPI return on the sale quarter | 3.455 *** | 1.494 *** | −3.107 *** | −2.710 *** |
MSA loan % with foreclosure at sale month | −2.432 *** | 30.799 *** | −20.880 *** | −5.076 *** |
Default spread at sale month = BAA corporate bond rate- AAA corporate bond rate | 0.059 *** | −0.434 *** | 0.041 | −0.257 *** |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | −0.058 *** | 0.068 * | −0.268 *** | −0.048 *** |
Original LTV | −0.286 *** | 0.374 *** | −1.077 *** | −0.739 *** |
Foreclosure dummy | 0.462 *** | 0.317 *** | 0.544 *** | 0.269 *** |
Sale year dummies | Yes | Yes | Yes | Yes |
Number of observations | 348,714 | 140,910 | 66,703 | 141,101 |
[Panel B] All regular sales - dependent variable: 1-year flip dummy | ||||
Intercept | 3.001 *** | −0.951 | 8.979 *** | 11.079 *** |
Year built | −0.0031 *** | −0.0011 *** | −0.0045 *** | −0.0065 *** |
Living sqf | 0.0000 *** | 0.0001 *** | 0.0000 | −0.0001 *** |
MSA HPI return on the purchase quarter | 0.387 *** | 9.768 *** | −34.862 *** | −10.322 *** |
MSA HPI return on the sale quarter | 3.580 *** | 1.851 *** | 1.174 ** | −0.957 ** |
MSA loan % with foreclosure at sale month | −2.524 *** | 33.583 *** | −27.136 *** | −3.405 *** |
Default spread at sale month = BAA corporate bond rate- AAA corporate bond rate | 0.037 | −0.892 *** | 0.072 | −0.278 ** |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | −0.045 *** | −0.104 ** | −0.345 *** | −0.025 |
Original LTV | −0.477 *** | 0.106 ** | −1.149 *** | −1.203 *** |
Foreclosure dummy | 0.618 *** | 0.322 *** | 0.609 *** | 0.550 *** |
Sale year dummies | Yes | Yes | Yes | Yes |
Number of observations | 348,714 | 140,910 | 66,703 | 141,101 |
[Panel C] Purchased as REOs - dependent variable: (2-year) flip dummy | ||||
Intercept | 9.372 *** | 5.355 | −3.911 | 9.548 *** |
Year built | −0.0045 *** | −0.0030 | 0.0048 | −0.0044 *** |
Living sqf | −0.0001 *** | −0.0001 | −0.0003 *** | −0.0001 ** |
MSA HPI return on the purchase quarter | −2.629 *** | 4.502 *** | −65.499 *** | 0.054 |
MSA HPI return on the sale quarter | −4.850 *** | −6.152 *** | 3.045 | −4.440 *** |
MSA loan % with foreclosure at sale month | 4.044 *** | 22.231 ** | −46.877 *** | 6.175 *** |
Default spread at sale month = BAA corporate bond rate- AAA corporate bond rate | 0.189 *** | −0.237 | 0.067 | 0.113 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | −0.099 *** | −0.062 | −0.496 ** | −0.096 *** |
Original LTV | −1.806 *** | 0.108 | −2.533 *** | −2.187 *** |
Foreclosure dummy | 0.409 *** | 0.361 *** | 0.013 | 0.420 *** |
Sale year dummies | Yes | Yes | Yes | Yes |
Number of observations | 12,028 | 2020 | 1798 | 8210 |
[Panel D] Purchased as shortsales - dependent variable: (2-year) flip dummy | ||||
Intercept | 6.162 * | 249.300 | 25.053 * | 5.572 |
Year built | −0.0025 | −0.2945 | −0.0123 * | −0.0021 |
Living sqf | −0.0001 * | 0.0038 | 0.0003 | −0.0001 * |
MSA HPI return on the purchase quarter | 8.546 *** | 148.800 | −14.413 *** | 9.649 *** |
MSA HPI return on the sale quarter | 0.317 | 128.100 | 3.824 | 0.840 |
MSA loan % with foreclosure at sale month | 10.559 *** | 723.400 | −13.763 | 11.451 *** |
Default spread at sale month = BAA corporate bond rate- AAA corporate bond rate | 0.131 | 40.043 | 0.334 | −0.065 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | −0.094 * | 293.100 | −0.084 | −0.108 ** |
Original LTV | −1.570 *** | −6.679 | −1.227 | −1.573 *** |
Foreclosure dummy | −0.738 *** | 6.165 | −0.864 | −0.722 *** |
Sale year dummies | Yes | Yes | Yes | Yes |
Number of observations | 3267 | 28 | 239 | 3000 |
Robustness Tests for Flip Drivers
Flip Responding to Lagged Housing Market Returns
[Panel A1] Results of flip attempt logit regressions with MSA HPI return lagged by 1 quarter | ||||
coefficient of MSA HPI return of the quarter prior to the listing quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip attempt dummy | 3.638 *** | 0.362 *** | 2.007 *** | −0.522 * |
[2] All regular sales / 1-year flip attempt dummy | 3.200 *** | 0.061 | 8.423 *** | 0.336 |
[3] Purchased as REOs / (2-year) flip attempt dummy | −4.241 *** | −6.165 *** | 8.901 *** | −4.363 *** |
[4] Purchased as shortsales / (2-year) flip attempt dummy | −2.483 ** | −176.500 | −7.200 | −2.052 ** |
[Panel A2] Results of flip logit regressions with MSA HPI return lagged by 1 quarter | ||||
coefficient of MSA HPI return of the quarter prior to the sale quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip dummy | 3.823 *** | 1.355 *** | −0.691 * | −2.055 *** |
[2] All regular sales / 1-year flip dummy | 4.012 *** | 1.794 *** | 10.975 *** | −0.106 |
[3] Purchased as REOs / (2-year) flip dummy | −5.517 *** | −6.327 *** | 6.049 * | −5.770 *** |
[4] Purchased as shortsales / (2-year) flip dummy | −2.870 *** | −405.100 | 4.120 | −2.828 *** |
[Panel B1] Results of flip attempt logit regressions with MSA fixed effects controlled | ||||
coefficient of MSA HPI return of the listing quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip attempt dummy | 2.605 *** | 1.327 *** | 4.928 *** | −0.916 *** |
[2] All regular sales / 1-year flip attempt dummy | 2.916 *** | 1.825 *** | 6.202 *** | −0.509 *** |
[3] Purchased as REOs / (2-year) flip attempt dummy | −2.785 *** | −2.793 *** | 8.710 *** | −3.704 *** |
[4] Purchased as shortsales / (2-year) flip attempt dummy | −3.948 *** | NA | −3.345 | - 4.185 *** |
[Panel B2] Results of flip logit regressions with MSA fixed effects controlled | ||||
coefficient of MSA HPI return of the sale quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip dummy | 2.757 *** | 2.887 *** | 2.523 *** | −2.481 *** |
[2] All regular sales / 1-year flip dummy | 3.028 *** | 3.048 *** | 1.912 *** | −1.237 *** |
[3] Purchased as REOs / (2-year) flip dummy | −3.839 *** | −2.432 ** | 2.984 | −5.062 *** |
[4] Purchased as shortsales / (2-year) flip dummy | −4.309 *** | NA | 7.357 | −4.519 *** |
[Panel C1] Results of flip attempt logit regressions with MSA-varying periods | ||||
coefficient of MSA HPI return of the listing quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip attempt dummy | 3.194*** | 0.229** | −0.068 | −1.701*** |
[2] All regular sales / 1-year flip attempt dummy | 3.460*** | 0.907*** | 5.389*** | 0.027 |
[3] Purchased as REOs / (2-year) flip attempt dummy | −3.815*** | −6.058*** | 13.429*** | −3.623*** |
[4] Purchased as shortsales / (2-year) flip attempt dummy | −0.948 | 6.649 | −0.950 | −0.531 |
[Panel C2] Results of flip logit regressions with MSA-varying periods | ||||
coefficient of MSA HPI return of the sale quarter | ||||
Sample / dependent variable | [All periods] | [Bubble] | [Crisis] | [Rebound] |
[1] All regular sales / (2-year) flip dummy | 3.455*** | 1.487*** | −3.054*** | −2.668*** |
[2] All regular sales / 1-year flip dummy | 3.580*** | 1.849*** | 0.923* | −0.843** |
[3] Purchased as REOs / (2-year) flip dummy | −4.850*** | −5.613*** | 2.903 | −4.679*** |
[4] Purchased as shortsales / (2-year) flip dummy | 0.317 | −76.097 | 3.732 | 0.704 |
[Panel D1] Results of 2-year flip attempt logit regressions (considering alternative investment opportunities) | ||||
coefficient | ||||
Main independent variables | [All periods] | [Bubble] | [Crisis] | [Rebound] |
MSA HPI return on the listing quarter | 4.190*** | 1.884*** | −0.551 | −1.716*** |
forclosure dummy | 0.427*** | 0.240*** | 0.597*** | 0.234*** |
MSA rent growth relative to price growth on the listing quarter | 0.002*** | −0.005*** | 0.006*** | 0.004* |
MSA WRLURI | −0.022* | −0.041*** | 0.013 | 0.147*** |
Number of observations | 242,870 | 92,295 | 48,763 | 101,812 |
[Panel D2] Results of 2-year flip logit regressions (considering alternative investment opportunities) | ||||
coefficient | ||||
Main independent variables | [All periods] | [Bubble] | [Crisis] | [Rebound] |
MSA HPI return on the sale quarter | 4.420*** | 2.813*** | −3.968*** | −2.735*** |
forclosure dummy | 0.491*** | 0.287*** | 0.613*** | 0.301*** |
MSA rent growth relative to price growth on the sale quarter | 0.004*** | −0.005*** | 0.004*** | 0.007*** |
MSA WRLURI | −0.060*** | −0.081*** | −0.009 | 0.183*** |
Number of observations | 242,938 | 92,353 | 48,763 | 101,822 |
MSA Fixed Effects
MSA-Varying Periods
Rental and Redevelopment Options
Results on Flip Performance
Effects of Flip Probability on Performance
Variable | [All periods] coef. | [Bubble] coef. | [Crisis] coef. | [Rebound] coef. |
---|---|---|---|---|
[Panel A] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.047 *** | −0.076 *** | −0.128 *** | −0.093 *** |
2-year flip probability (inferred from flip regressions) | 0.096 *** | 0.144 *** | 0.247 *** | 0.188 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel B] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.104 *** | −0.124 *** | −0.183 *** | −0.210 *** |
1-year flip probability (inferred from flip regressions) | 0.209 *** | 0.243 *** | 0.363 *** | 0.420 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel C] Purchased as REOs - dependent variable: abnormal gain speed | ||||
Intercept | −0.162 *** | −0.130 *** | −0.235 *** | −0.174 *** |
2-year flip probability (inferred from flip regressions) | 0.324 *** | 0.250 *** | 0.442 *** | 0.352 *** |
Number of observations | 10,574 | 1804 | 1656 | 7114 |
[Panel D] Purchased as short sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.180 *** | −0.141 | −0.203 *** | −0.220 *** |
2-year flip probability (inferred from flip regressions) | 0.347 *** | 0.281 * | 0.359 *** | 0.418 *** |
Number of observations | 2756 | 26 | 217 | 2513 |
Robustness Checks for Flip Performance
Exogenous Flips
Variable | [All periods] | [Bubble] | [Crisis] | [Rebound] | ||||
---|---|---|---|---|---|---|---|---|
coef | var inf | coef. | var inf | coef. | var inf | coef. | var inf | |
[Panel A] All regular sales - dependent variable: abnormal gain speed | ||||||||
Intercept | 0.114 *** | 0.000 | 0.101 *** | 0.000 | 0.145 *** | 0.000 | 0.085 *** | 0.000 |
2-year flip dummy | 0.023 *** | 1.183 | 0.016 *** | 1.196 | 0.021 *** | 1.128 | 0.040 *** | 1.086 |
Year built | −0.0001 *** | 1.149 | −0.0001 *** | 1.133 | −0.0001 *** | 1.175 | 0.0000 *** | 1.164 |
Living sqf | 0.0000 *** | 1.227 | 0.0000 *** | 1.188 | 0.0000 *** | 1.202 | 0.0000 | 1.226 |
MSA HPI return on the purchase quarter | −0.016 *** | 1.148 | 0.024 *** | 1.325 | −0.051 *** | 1.332 | −0.007 *** | 1.148 |
MSA HPI return on the sale quarter | 0.019 *** | 3.180 | 0.029 *** | 1.988 | −0.022 *** | 2.213 | 0.007 *** | 3.173 |
MSA loan % with foreclosure at sale month | 0.012 *** | 1.680 | 0.189 *** | 1.441 | −0.013 | 1.976 | −0.002 | 1.206 |
Default spread at sale month = BAA corp. bond rate- AAA corp. bond rate | 0.000 * | 2.280 | −0.001 | 3.922 | −0.001 *** | 2.185 | 0.000 | 2.422 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 0.000 | 19.545 | 0.000 | 11.246 | 0.001 *** | 10.793 | 0.000 | 2.864 |
Original LTV | 0.001 *** | 1.093 | 0.007 *** | 1.072 | 0.001 | 1.090 | −0.002 *** | 1.108 |
Foreclosure dummy | 0.003 *** | 1.092 | 0.002 *** | 1.007 | 0.003 *** 1.060 | 0.002 *** | 1.074 | |
Sale year dummies | Yes | Yes | Yes | Yes | ||||
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 | ||||
[Panel B] All regular sales - dependent variable: abnormal gain speed | ||||||||
Intercept | 0.099 *** | 0.000 | 0.083 *** | 0.000 | 0.131 *** | 0.000 | 0.071 *** | 0.000 |
1-year flip dummy | 0.048 *** | 1.083 | 0.036 *** | 1.134 | 0.056 *** | 1.120 | 0.086 *** | 1.026 |
Year built | −0.0001 *** | 1.149 | −0.0001 *** | 1.132 | −0.0001 *** | 1.175 | 0.0000 *** | 1.164 |
Living sqf | 0.0000 *** | 1.227 | 0.0000 *** | 1.187 | 0.0000 *** | 1.203 | 0.0000 *** | 1.227 |
MSA HPI return on the purchase quarter | −0.023 *** | 1.149 | 0.011 *** | 1.295 | −0.031 *** | 1.329 | −0.019 *** | 1.081 |
MSA HPI return on the sale quarter | 0.014 *** | 3.178 | 0.023 *** | 1.990 | −0.012 *** | 2.218 | 0.005 *** | 3.173 |
MSA loan % with foreclosure at sale month | 0.013 *** | 1.680 | 0.144 *** | 1.439 | −0.007 | 1.976 | 0.008 *** | 1.205 |
Default spread at sale month = BAA corp. bond rate- AAA corp. bond rate | 0.000 * | 2.280 | 0.002 | 3.925 | −0.001 *** | 2.185 | 0.000 | 2.422 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 0.000 | 19.544 | 0.001 | 11.246 | 0.001 *** | 10.791 | 0.000 | 2.863 |
Original LTV | 0.002 *** | 1.093 | 0.008 *** | 1.071 | 0.002 *** | 1.089 | 0.000 | 1.109 |
Foreclosure dummy | 0.002 *** | 1.092 | 0.002 *** | 1.007 | 0.001 *** | 1.063 | 0.001 *** | 1.076 |
Sale year dummies | Yes | Yes | Yes | Yes | ||||
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 | ||||
[Panel C] Purchased as REOs - dependent variable: abnormal gain speed | ||||||||
Intercept | 0.605 *** | 0.000 | 0.604 *** | 0.000 | 0.897 *** | 0.000 | 0.519 *** | 0.000 |
2-year flip dummy | 0.060 *** | 1.225 | 0.031 *** | 1.172 | 0.054 *** | 1.611 | 0.067 *** | 1.159 |
Year built | −0.0003 *** | 1.194 | −0.0003 *** | 1.181 | −0.0005 *** | 1.181 | −0.0003 *** | 1.197 |
Living sqf | 0.0000 *** | 1.198 | 0.0000 ** | 1.153 | 0.0000 | 1.197 | 0.0000 *** | 1.201 |
MSA HPI return on the purchase quarter | −0.019 ** | 1.538 | −0.023 | 1.442 | −0.252 *** | 2.331 | 0.002 | 1.134 |
MSA HPI return on the sale quarter | −0.025 ** | 2.850 | 0.012 | 2.138 | −0.010 | 2.168 | −0.046 ** | 3.276 |
MSA loan % with foreclosure at sale month | −0.038 | 1.331 | 0.061 | 1.701 | −0.367 | 2.033 | −0.043 | 1.196 |
Default spread at sale month = BAA corp. bond rate- AAA corp. bond rate | 0.001 | 2.136 | −0.019 | 4.006 | −0.003 | 1.836 | 0.006 | 2.595 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 0.001 | 14.064 | −0.009 | 11.440 | 0.002 | 9.205 | 0.001 | 2.836 |
Original LTV | −0.005 | 1.058 | −0.012 | 1.089 | 0.050 *** | 1.066 | −0.011 ** | 1.060 |
Foreclosure dummy | 0.000 | 1.153 | 0.002 | 1.067 | −0.004 | 1.057 | 0.002 | 1.022 |
Sale year dummies | Yes | Yes | Yes | Yes | ||||
Number of observations | 11,369 | 1960 | 1765 | 7644 | ||||
[Panel D] Purchased as short sales - dependent variable: abnormal gain speed | ||||||||
Intercept | 0.258 *** | 0.000 | 2.363 ** | 0.000 | 0.702 ** | 0.000 | 0.229 *** | 0.000 |
2-year flip dummy | 0.042 *** | 1.211 | 0.068 * | 1.847 | 0.027 *** | 1.253 | 0.042 *** | 1.158 |
Year built | −0.0001 *** | 1.210 | −0.0009 ** | 1.913 | −0.0003 ** | 1.248 | −0.0001 *** | 1.215 |
Living sqf | 0.0000 ** | 1.252 | 0.0000 | 1.787 | 0.0000 | 1.340 | 0.0000 ** | 1.259 |
MSA HPI return on the purchase quarter | 0.120 *** | 1.272 | −0.694 * | 5.750 | −0.248 *** | 2.281 | 0.136 *** | 1.241 |
MSA HPI return on the sale quarter | 0.115 *** | 2.587 | 0.759 ** | 3.100 | 0.202* | 2.494 | 0.128 *** | 2.518 |
MSA loan % with foreclosure at sale month | 0.068 ** | .324 | 0.416 | 2.341 | −0.490 | 1.944 | 0.084 ** | 1.306 |
Default spread at sale month = BAA corp. bond rate- AAA corp. bond rate | 0.005 | 2.220 | −0.059 | 2.242 | 0.003 | 1.543 | 0.009 | 2.746 |
Yield curve at sale month = 10 year T bond rate/2 year T note rate | 0.002 | 5.604 | −0.446 | 3.317 | 0.010 | 9.984 | 0.001 | 2.487 |
Original LTV | −0.031 *** | 1.064 | −0.034 | 1.769 | −0.042 | 1.138 | −0.031 *** | 1.067 |
Foreclosure dummy | 0.000 | 1.022 | 0.003 | 1.418 | −0.020 | 1.054 | 0.001 | 1.023 |
Sale year dummies | Yes | Yes | Yes | Yes | ||||
Number of observations | 3131 | 28 | 231 | 2872 |
Performance Incorporating Transaction Costs
Variable | [All periods]coef. | [Bubble]coef. | [Crisis]coef. | [Rebound]coef. |
---|---|---|---|---|
[Panel A] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | 0.044 *** | −0.071 *** | −0.120 *** | −0.088 *** |
2-year flip probability (inferred from flip regressions) | 0.090 *** | 0.135 *** | 0.232 *** | 0.176 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel B] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | 0.098 *** | −0.116 *** | −0.172 *** | −0.197 *** |
1-year flip probability (inferred from flip regressions) | 0.196 *** | 0.229 *** | 0.341 *** | 0.395 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel C] Purchased as REOs - dependent variable: abnormal gain speed | ||||
Intercept | −0.152 *** | −0.123 *** | −0.221 *** | −0.164 *** |
2-year flip probability (inferred from flip regressions) | 0.305 *** | 0.235 *** | 0.415 *** | 0.331 *** |
Number of observations | 10,574 | 1804 | 1656 | 7114 |
[Panel D] Purchased as short sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.170 *** | −0.132 | −0.191 *** | −0.207 *** |
2-year flip probability (inferred from flip regressions) | 0.326 *** | 0.264 * | 0.338 *** | 0.393 *** |
Number of observations | 2756 | 26 | 217 | 2513 |
Performance Incorporating Transaction Cost and Cost of Losing Tax Benefits
Variable | [All periods] coef. | [Bubble] coef. | [Crisis] coef. | [Rebound] coef. |
---|---|---|---|---|
[Panel A] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.041 *** | −0.043 *** | −0.083 *** | −0.063 *** |
2-year flip probability (inferred from flip regressions) | 0.083 *** | 0.086 *** | 0.162 *** | 0.127 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel B] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.085 *** | −0.073 *** | −0.119 *** | −0.142 *** |
1-year flip probability (inferred from flip regressions) | 0.170 *** | 0.147 *** | 0.236 *** | 0.284 *** |
Number of observations | 343,823 | 140,031 | 66,115 | 137,677 |
[Panel C] Purchased as REOs - dependent variable: abnormal gain speed | ||||
Intercept | −0.102 *** | −0.067 *** | −0.151 *** | −0.108 *** |
2-year flip probability (inferred from flip regressions) | 0.206 *** | 0.137 *** | 0.285 *** | 0.221 *** |
Number of observations | 10,574 | 1804 | 1656 | 7114 |
[Panel D] Purchased as short sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.113 *** | −0.092 *** | −0.130 *** | −0.138 *** |
2-year flip probability (inferred from flip regressions) | 0.220 *** | 0.185 *** | 0.232 *** | 0.265 *** |
Number of observations | 2756 | 26 | 217 | 2513 |
MSA-Varying Periods
Variable | [All periods] coef. | [Bubble] coef. | [Crisis] coef. | [Rebound] coef. |
---|---|---|---|---|
[Panel A] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.047 *** | −0.076 *** | −0.128 *** | −0.094 *** |
2-year flip probability (inferred from flip regressions) | 0.096 *** | 0.144 *** | 0.248 *** | 0.189 *** |
Number of observations | 343,823 | 141,229 | 63,841 | 139,037 |
[Panel B] All regular sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.104 *** | −0.124 *** | −0.184 *** | −0.210 *** |
1-year flip probability (inferred from flip regressions) | 0.209 *** | 0.244 *** | 0.364 *** | 0.420 *** |
Number of observations | 343,823 | 141,229 | 63,841 | 139,037 |
[Panel C] Purchased as REOs - dependent variable: abnormal gain speed | ||||
Intercept | −0.162 *** | −0.163 *** | −0.238 *** | −0.166 *** |
2-year flip probability (inferred from flip regressions) | 0.324 *** | 0.303 *** | 0.448 *** | 0.337 *** |
Number of observations | 11,369 | 2209 | 1403 | 7761 |
[Panel D] Purchased as short sales - dependent variable: abnormal gain speed | ||||
Intercept | −0.180 *** | −0.136 | −0.147 *** | −0.209 *** |
2-year flip probability (inferred from flip regressions) | 0.347 *** | 0.293 | 0.267 *** | 0.398 *** |
Number of observations | 3131 | 51 | 185 | 2897 |