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Details about Francis A. Longstaff

Homepage:http://personal.anderson.ucla.edu/francis.longstaff/
Workplace:Finance Group, Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)

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Short-id: plo283


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Working Papers

2014

  1. Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Valuing Thinly-Traded Assets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2013

  1. Deflation Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. Disagreement and Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Inflation Tracking Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2011

  1. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)

2010

  1. Corporate Bond Default Risk: A 150-Year Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)

2009

  1. Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Valuing Toxic Assets: An Analysis of CDO Equity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2007

  1. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)

2006

  1. An Empirical Analysis of the Pricing of Collateralized Debt Obligations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Finance (2008)

2005

  1. The Cherry-Picking Option in the U.S. Treasury Buyback Auctions
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads

2004

  1. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Journal of Finance (2005)
  2. Financial Claustrophobia: Asset Pricing in Illiquid Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  3. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  4. Two Trees: Asset Price Dynamics Induced by Market Clearing
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)
    Levine's Bibliography, UCLA Department of Economics (2003) Downloads View citations (3)

2003

  1. Corporate Earnings and the Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2004)

2002

  1. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Finance (2003)
  2. Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2003)
  3. The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in The Journal of Business (2004)
  4. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)

Journal Articles

2011

  1. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (83)
    See also Working Paper (2007)

2010

  1. The subprime credit crisis and contagion in financial markets
    Journal of Financial Economics, 2010, 97, (3), 436-450 Downloads View citations (54)

2009

  1. Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
    American Economic Review, 2009, 99, (4), 1119-44 Downloads View citations (8)

2008

  1. An Empirical Analysis of the Pricing of Collateralized Debt Obligations
    Journal of Finance, 2008, 63, (2), 529-563 Downloads View citations (37)
    See also Working Paper (2006)
  2. Two Trees
    Review of Financial Studies, 2008, 21, (1), 347-385 Downloads View citations (9)

2007

  1. The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds
    Journal of Finance, 2007, 62, (6), 2673-2693 Downloads View citations (2)

2006

  1. The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks
    The Journal of Business, 2006, 79, (5), 2337-2360 Downloads View citations (28)

2005

  1. Borrower Credit and the Valuation of Mortgage-Backed Securities
    Real Estate Economics, 2005, 33, (4), 619-661 Downloads View citations (6)
  2. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
    Journal of Finance, 2005, 60, (5), 2213-2253 Downloads View citations (208)
    See also Working Paper (2004)

2004

  1. Corporate earnings and the equity premium
    Journal of Financial Economics, 2004, 74, (3), 401-421 Downloads View citations (29)
    See also Working Paper (2003)
  2. Electricity Forward Prices: A High-Frequency Empirical Analysis
    Journal of Finance, 2004, 59, (4), 1877-1900 Downloads View citations (64)
  3. The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
    The Journal of Business, 2004, 77, (3), 511-526 Downloads View citations (45)
    See also Working Paper (2002)

2003

  1. Dynamic Asset Allocation with Event Risk
    Journal of Finance, 2003, 58, (1), 231-259 Downloads View citations (66)
    See also Working Paper (2002)
  2. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
    Journal of Financial Economics, 2003, 67, (3), 385-410 Downloads View citations (36)
    See also Working Paper (2002)

2001

  1. Optimal Portfolio Choice and the Valuation of Illiquid Securities
    Review of Financial Studies, 2001, 14, (2), 407-31 View citations (42)
  2. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
    Journal of Finance, 2001, 56, (6), 2067-2109 Downloads View citations (14)
  3. Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
    Journal of Financial Economics, 2001, 62, (1), 39-66 Downloads View citations (11)
  4. Valuing American Options by Simulation: A Simple Least-Squares Approach
    Review of Financial Studies, 2001, 14, (1), 113-47 View citations (86)

2000

  1. Arbitrage and the Expectations Hypothesis
    Journal of Finance, 2000, 55, (2), 989-994 Downloads View citations (16)
  2. Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program
    Journal of Finance, 2000, 55, (3), 1415-1436 Downloads View citations (19)
  3. The term structure of very short-term rates: New evidence for the expectations hypothesis
    Journal of Financial Economics, 2000, 58, (3), 397-415 Downloads View citations (36)

1996

  1. Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate
    Real Estate Economics, 1996, 24, (1), 23-41 Downloads View citations (2)
  2. Valuing futures and options on volatility
    Journal of Banking & Finance, 1996, 20, (6), 985-1001 Downloads View citations (20)

1995

  1. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
    Journal of Finance, 1995, 50, (3), 789-819 Downloads View citations (344)
  2. How Much Can Marketability Affect Security Values?
    Journal of Finance, 1995, 50, (5), 1767-74 Downloads View citations (23)
  3. Option Pricing and the Martingale Restriction
    Review of Financial Studies, 1995, 8, (4), 1091-1124 Downloads View citations (53)

1994

  1. Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect
    Financial Management, 1994, 23, (4) View citations (3)
  2. Electronic Screen Trading and the Transmission of Information: An Empirical Examination
    Journal of Financial Intermediation, 1994, 3, (2), 166-187 Downloads View citations (30)

1993

  1. Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market
    Journal of Financial and Quantitative Analysis, 1993, 28, (03), 381-397 Downloads View citations (10)
  2. The valuation of options on coupon bonds
    Journal of Banking & Finance, 1993, 17, (1), 27-42 Downloads View citations (8)

1992

  1. Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle
    The Journal of Business, 1992, 65, (4), 571-92 Downloads View citations (14)
  2. Dual Trading in Futures Markets
    Journal of Finance, 1992, 47, (2), 643-71 Downloads View citations (38)
  3. Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
    Journal of Finance, 1992, 47, (4), 1259-82 Downloads View citations (114)
  4. Multiple equilibria and term structure models
    Journal of Financial Economics, 1992, 32, (3), 333-344 Downloads View citations (5)

1991

  1. General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
    Journal of Financial and Quantitative Analysis, 1991, 26, (03), 287-308 Downloads View citations (10)

1990

  1. Pricing Options with Extendible Maturities: Analysis and Applications
    Journal of Finance, 1990, 45, (3), 935-57 Downloads View citations (10)
  2. The valuation of options on yields
    Journal of Financial Economics, 1990, 26, (1), 97-121 Downloads View citations (10)
  3. Time Varying Term Premia and Traditional Hypotheses about the Term Structure
    Journal of Finance, 1990, 45, (4), 1307-14 Downloads View citations (5)

1989

  1. A nonlinear general equilibrium model of the term structure of interest rates
    Journal of Financial Economics, 1989, 23, (2), 195-224 Downloads View citations (26)
  2. Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model
    Journal of Finance, 1989, 44, (4), 871-87 Downloads View citations (5)
 
Page updated 2014-10-29