A common claim is that home ownership is a good deal because the housing services it provides are untaxed. My simple point is that the property tax paid by a homeowner is in effect an annual tax on housing services. It is an income tax when the homeowner rents the house to somebody else. It's a...

Using both S&P 500 option and recently introduced VIX option prices, we study pricing kernels and their dependence on multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and the slope of the variance swap term structure. Our...

We use survey data to study American households' propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). We find that 26% of the existing defaults are strategic. We also find that no household...