Selected Published Journal Articles
Ikramov , N., & Yavas, A. (2012). Asset Characteristics and Boom and Bust Periods: An Experimental Study.
Real Estate Economics
We examine the impact of transaction costs, short selling restrictions and divisibility of assets on market efficiency in experimental asset markets. We find that transaction costs do not exacerbate the inefficiency of the market. They reduce the magnitude of bubbles and push prices closer to fundamentals. More divisible assets exhibit smaller deviations of prices from fundamentals. Short selling restrictions contribute to prolonged bubbles, while relaxing them increases the occurrence of "bust cycles." We also find that experimental real estate markets display larger deviations of prices from fundamental values, longer boom and bust cycles and smaller turnover than experimental financial markets.
Bian, X., & Yavas, A. (2012). Prepayment Penalty as a Screening Mechanism for Default and Prepayment Risks. Real Estate Economics
Agarwal, S., Chang, Y., & Yavas, A. (2012). Adverse Selection in Mortgage Securization.
Journal of Financial Economics
We investigate lenders’ choice of loans to securitize and whether the loans they sell into the secondary mortgage market are riskier than the loans they retain in their portfolios. Using a large dataset of mortgage loans originated between 2004 and 2008, we find that banks sold low-default risk loans into the secondary market while keeping higher-default risk loans in their portfolios. This result holds for both subprime and prime loans. We do find strong support for adverse selection with respect to prepayment risk; securitized loans had higher prepayment risk than portfolio loans. It appears that in return for selling loans with lower default risk, lenders retain loans with lower prepayment risk. Small lenders place more emphasis than large lenders on default risk versus prepayment risk of the loans they retain. Securitization strategies of lenders changed during the sample period as they became less willing to retain higher-default loans after the housing market reached its peak. There are also differences in the performance of loans sold to GSEs and loans sold to private issuers. Loans sold to private issuers have lower prepayment rates in each year while relative default rates vary across the years.
Rutherford, R., & Yavas, A. (2012). Discount Brokerage in Residential Real Estate Markets.
Real Estate Economics
Transaction costs are thought to affect asset prices and market liquidity, but the direction and magnitude of these effects continues to be the subject of debate. In the single family residential market discount brokers offer to list a house for a lower price and thus reduce the transaction costs associated with obtaining a match. In this paper we obtain empirical estimates of the price and liquidity impact of a seller selecting a discount broker to market a single family residential property. The unique data set allows for the identification of residential properties that were listed by a discount brokerage firm. The empirical results confirm the predictions of our theoretical model. Using a sample of 318,211 listings and 243,625 sales, we find that houses listed by discount brokers sell at prices similar to non-discount brokerage listings, but are less likely to sell and when they do sell, take approximately 3 days longer to sell. The results indicate that lower transaction costs do not impact housing prices in this market, but are related to asset liquidity.
Ikromov, N., & Yavas, A. (2012). Cash Flow Volatility, Prices and Price Volatility: An Experimental Study. Journal of Real Estate Finance and Economics (44), 203-229.
Yildirim, Y., & Yavas, A. (2011). Price Discovery in Real Estate Markets: A dynamic Analysis.
Journal of Real Estate Finance and Economics
Although the correlation between the public and private market pricing of real estate has generated considerable research effort, the methods utilized in previous studies have failed to capture the dynamic nature of this correlation. This paper proposes a new statistical method to address this issue. This method, known as the dynamic conditional correlation GARCH model, enables us to study the dynamics of the correlation between the two markets over time and enrich our understanding of the public and private market pricing of real assets. We find that the correlation between NAV returns and REIT returns is dynamic for all REIT types and there is a strong degree of persistence in the series of correlation. Our Granger-causality tests show that price discovery generally takes place in the securitized public market. However, we also find significant variations across property types and individual firms within each type. Our results indicate that constructing an optimal portfolio requires firm level analysis of causality and correlation between REIT returns and NAV returns.
Vandegrift, D., & Yavas, A. (2011). An Experimental Test of Behavior under Team Production. Managerial and Decision Economics (32), 35-51.
Vandegrift, D., & Yavas, A. (2010). An Experimental Test of Sabotage in Tournaments. Journal of Institutional and Theoretical Economics (166), 259-285.
Fisher, L., & Yavas, A. (2010). Case for Percentage Commission Contracts: The Impact of a "Race" Among Agents.
Journal of Real Estate Finance and Economics
In standard principal-agent problems, the issue at hand is how to align the interests of the agent with those of her principal. A commonly used contract involves the principal paying the agent a percentage of the sale price as commission. With respect to real estate brokerage conracts, it has been argued that percentage commission contracts fail to provide sufficient incentives to the agent. This paper re-evaluates the standard solution to a one seller, one agent agency problem by introducing more than one agent. It is shown that percentage commission contracts can induce first-best effort levels from agents. The result is due to the negative externalities created by the winner-takes-all race among agents. The optimal commission rates in this model are inconsistent, however, with the observed uniformity in commission rates across markets in the U.S.
Chang, Y., & Yavas, A. (2009). Do Borrowers Make Rational Choices on Points and Refinancing??.
Real Estate Economics
Utilizing individual mortgage data, we find that borrowers with points are less likely to refinance, and when they do, they take longer to refinance. This finding supports the separating equilibrium prediction of earlier studies that borrowers with higher (lower) refinancing costs self-select into mortgages with higher-point/lower-rate (lower-point/higher-rate) loans.
Vandegrift, D., & Yavas, A. (2009). Men, Women and Competition: an Experimental Test of Behavior. Journal of Economic Behavior and Organization (72), 554-570.
Vandergrift, D., Yavas, A., & Brown, P. (2007). Incentive Effects and Overcrowding in Tournaments: An Experimental Analysis. Experimental Economics (10), 345-368.
Posey, L., & Yavas, A. (2007). Screening Equilibria in Experimental Markets.
Geneva Risk and Insurance Review
We conduct an experimental test of a screening model of an insurance market with asymmetric information. We first conduct three sessions in which the proportion of high risk buyers is such that a separating equilibrium should exist. We then conduct three more sessions in which the only change we make is decreasing the proportion of high risks such that the equilibrium is now a pooling equilibrium. In both treatments, the observed behavior converges to the equilibrium prediction.
Rutherford, R., Springer, T., & Yavas, A. (2007). Evidence of Information Asymmetries in the Market for Residential Condominiums. Journal of Real Estate Finance and Economics (35), 23-38.
Fisher, L., & Yavas, A. (2007). The Value of Equitable Redemption in Commercial Mortgage Contracting. Journal of Real Estate Finance and Economics (35), 411-426.
Yavas, A., Rutherford, R., & Ford, J. (2005). The Effects of the Internet on Marketing Residential Real Estate. Journal of Housing Economics (14), 92-108.
Dokmeci, V., Onder, Z., & Yavas, A. (2003). External Factors, Housing Values and Rents: Evidence from Survey Data. Journal of Housing Research (14), 83-99.
Yavas, A. (2002). Endogenous Outside Options in Coordination Games: Experimental Evidence. Journal of Economic Behavior and Organization (47), 221-236.
Katok, E., Sefton, M., & Yavas, A. (2002). Implementation by Iterative Dominance and Backward Induction: an Experimental Comparison. Journal of Economic Theory (104), 89-103.
Posey, L., & Yavas, A. (2001). Adjustable and Fixed Rate Mortgages as a Screening Mechanism for Default Risk. Journal of Urban Economics (49), 54-79.
Munneke, H., & Yavas, A. (2001). Incentives and Performance in Real Estate Brokerage: Theory and Evidence. Journal of Real Estate Finance and Economics (22), 5-21.
Yavas, A. (2001). Resolution of Demand Uncertainty and Competitive Rent Adjustment. Journal of Housing Economics (10), 472-481.
Yavas, A., Miceli, T., & Sirmans, C. (2001). An Experimental Analysis of the Impact of Intermediaries on the Outcome of Bargaining Games. Real Estate Economics (29), 61-86.
Abrahms, E., Sefton, M., & Yavas, A. (2001). An Experimental Comparison of Two Search Models. Advances in Experimental Markets
Yavas, A. (2001). Impossibility of a Competitive Equilibrium in Brokerage Industry. Journal of Real Estate Research (21), 187-200.
Yavas, A. (2001). The Immediacy Service of the Specialist as a Coordination Mechanism. International Review of Economics and Finance (10), 205-221.
Rutherford, R., Springer, T., & Yavas, A. (2001). The Impacts of Contract Type on Broker Performance. Real Estate Economics (29), 389-409.
Abrahms, E., Sefton, M., & Yavas, A. (2000). An Experimental Comparison of Two Search Models. Economic Theory (16), 735-749.
Yavas, A., & Colwell, P. (1999). Buyer Brokerage: Incentive and Efficiency Implications. Journal of Real Estate Finance and Economics (18), 259-277.
Yavas, A. (1998). The Effect of Government Size on Economic Development: Does Too Much Government Investment Retard Economic Development of a Country?. Journal of Economic Studies (25), 296-308.
Yavas, A. (1996). Matching of Buyers and Sellers by Brokers: A Comparison of Alternative Commission Structures. Real Estate Economics (24), 87-112.
Sefton, M., & Yavas, A. (1996). Abreu-Matsushima Mechanisms: Experimental Evidence. Games and Economic Behavior (16), 280-302.
Yavas, A. (1996). Search and Trading in Intermediated Markets. Journal of Economics and Management Strategy (5), 195-216.
Sefton, M., & Yavas, A. (1996). Threat to Regulate and Coordination Failures: Expiermental Evidence. Journal of Real Estate Finance and Economics (12), 97-115.
Yavas, A., & Yang, S. (1995). The Strategic Role of Listing Price in Marketing Real Estate: Theory and Evidence. Real Estate Economics (23), 347-368.
Sefton, M., & Yavas, A. (1995). The Welfare Effects of a subsidy to Multiple Listing Services. Journal of Real Estate Finance and Economics (11), 85-90.
Yang, S., & Yavas, A. (1995). Bigger is Not Better: Brokerage and Time on the Market. Journal of Real Estate Research (10), 23-33.
Yavas, A. (1995). Seller - Broker Relationship as a Double Moral Hazard Problem. Journal of Housing Economics (4), 244-263.
Yavas, A. (1995). Can Brokerage Have an Equilibrium Selection Role. Journal of Urban Economics (37), 17-37.
Colwell, P., & Yavas, A. (1995). A Comparison of Real Estate Marketing Systems: Theory and Evidence. Journal of Real Estate Research (10), 583-599.
Posey, L., & Yavas, A. (1995). A Search Model of Marketing Systems in Property-Liability Insurance. Journal of Risk and Insurance (62), 666-689.
Kahn, C., & Yavas, A. (1994). The Economic Role of Foreclosures. Journal of Real Estate Finance and Economics (8), 35-51.
Yavas, A. (1994). Middlemen in Bilateral Search Markets. Journal of Labor Economics (12), 406-429.
Yavas, A. (1994). Economics of Brokerage: An Overview. Journal of Real Estate Literature (2), 169-195.
Colwell, P., & Yavas, A. (1994). Demand for Agricultural Land and Strategic Bidding in Auctions. Journal of Real Estate Finance and Economics (8), 137-149.
Colwell, P., & Yavas, A. (1993). The Value of Deed Quality. Journal of Real Estate Finance and Economics (7), 143-150.
Bhattacharya, U., & Yavas, A. (1993). In Search of the Right Middleman. Economic Letters (42), 341-348.
Yavas, A. (1992). Marketmakers versus Matchmakers. Journal of Financial Intermediation (2), 33-58.
Yavas, A. (1992). A Simple Search and Bargaining Model of Real Estate Markets. Real Estate Economics (20), 533-548.
Colwell, P., & Yavas, A. (1992). The Value of Building Codes. Real Estate Economics (20), 501-517.