Details about Francis A. Longstaff

Access statistics for papers by Francis A. Longstaff.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: plo283

Working Papers

2024

1. Financial Sophistication and Bank Market Power
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

3. Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

4. Treasury Richness
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

5. Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market
   NBER Working Papers, National Bureau of Economic Research, Inc
6. The Market Risk Premium for Unsecured Consumer Credit Risk
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

7. Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
8. Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2017

9. Asset Mispricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)

2016

10. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2015

11. The U.S. Debt Restructuring of 1933: Consequences and Lessons
    NBER Working Papers, National Bureau of Economic Research, Inc

2014

12. Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
13. Valuing Thinly-Traded Assets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2013

14. Deflation Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2012

15. Disagreement and Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
16. Inflation Tracking Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
17. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

2011

18. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)

2010

19. Corporate Bond Default Risk: A 150-Year Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
20. Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)

2009

21. Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
22. Valuing Toxic Assets: An Analysis of CDO Equity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

2007

23. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article How Sovereign Is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (616) (2011)

2006

24. An Empirical Analysis of the Pricing of Collateralized Debt Obligations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article An Empirical Analysis of the Pricing of Collateralized Debt Obligations, Journal of Finance, American Finance Association (2008) View citations (109) (2008)

2005

25. 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

2004

26. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    See also Journal Article Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market, Journal of Finance, American Finance Association (2005) View citations (874) (2005)
27. Financial Claustrophobia: Asset Pricing in Illiquid Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
28. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
29. Two Trees: Asset Price Dynamics Induced by Market Clearing
    2004 Meeting Papers, Society for Economic Dynamics View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (3)

2003

30. Corporate Earnings and the Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Corporate earnings and the equity premium, Journal of Financial Economics, Elsevier (2004) View citations (83) (2004)

2002

31. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Dynamic Asset Allocation with Event Risk, Journal of Finance, American Finance Association (2003) View citations (182) (2003)
32. Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?, Journal of Financial Economics, Elsevier (2003) View citations (95) (2003)
33. The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices, The Journal of Business, University of Chicago Press (2004) View citations (235) (2004)
34. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

Journal Articles

2011

1. How Sovereign Is Sovereign Credit Risk?
   American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 View citations (616)
   See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) View citations (50) (2007)

2010

2. The subprime credit crisis and contagion in financial markets
   Journal of Financial Economics, 2010, 97, (3), 436-450 View citations (272)

2009

3. Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
   American Economic Review, 2009, 99, (4), 1119-44 View citations (41)

2008

4. An Empirical Analysis of the Pricing of Collateralized Debt Obligations
   Journal of Finance, 2008, 63, (2), 529-563 View citations (109)
   See also Working Paper An Empirical Analysis of the Pricing of Collateralized Debt Obligations, NBER Working Papers (2006) View citations (14) (2006)
5. Two Trees
   The Review of Financial Studies, 2008, 21, (1), 347-385 View citations (19)

2007

6. The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds
   Journal of Finance, 2007, 62, (6), 2673-2693 View citations (12)

2006

7. 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 View citations (99)

2005

8. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
   Journal of Finance, 2005, 60, (5), 2213-2253 View citations (874)
   See also Working Paper Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, NBER Working Papers (2004) View citations (32) (2004)

2004

9. Corporate earnings and the equity premium
   Journal of Financial Economics, 2004, 74, (3), 401-421 View citations (83)
   See also Working Paper Corporate Earnings and the Equity Premium, NBER Working Papers (2003) View citations (3) (2003)
10. The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
    The Journal of Business, 2004, 77, (3), 511-526 View citations (235)
    See also Working Paper The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices, NBER Working Papers (2002) View citations (16) (2002)

2003

11. Dynamic Asset Allocation with Event Risk
    Journal of Finance, 2003, 58, (1), 231-259 View citations (182)
    See also Working Paper Dynamic Asset Allocation With Event Risk, NBER Working Papers (2002) View citations (7) (2002)
12. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
    Journal of Financial Economics, 2003, 67, (3), 385-410 View citations (95)
    See also Working Paper Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?, NBER Working Papers (2002) View citations (3) (2002)

2001

13. Optimal Portfolio Choice and the Valuation of Illiquid Securities
    The Review of Financial Studies, 2001, 14, (2), 407-31 View citations (86)
14. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
    Journal of Finance, 2001, 56, (6), 2067-2109 View citations (43)
15. Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
    Journal of Financial Economics, 2001, 62, (1), 39-66 View citations (29)
16. Valuing American Options by Simulation: A Simple Least-Squares Approach
    The Review of Financial Studies, 2001, 14, (1), 113-47 View citations (989)

2000

17. Arbitrage and the Expectations Hypothesis
    Journal of Finance, 2000, 55, (2), 989-994 View citations (21)
18. Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program
    Journal of Finance, 2000, 55, (3), 1415-1436 View citations (40)
19. The term structure of very short-term rates: New evidence for the expectations hypothesis
    Journal of Financial Economics, 2000, 58, (3), 397-415 View citations (81)

1996

20. Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate
    Real Estate Economics, 1996, 24, (1), 23-41 View citations (4)
21. Valuing futures and options on volatility
    Journal of Banking & Finance, 1996, 20, (6), 985-1001 View citations (94)

1995

22. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
    Journal of Finance, 1995, 50, (3), 789-819 View citations (780)
23. How Much Can Marketability Affect Security Values?
    Journal of Finance, 1995, 50, (5), 1767-74 View citations (73)
24. Option Pricing and the Martingale Restriction
    The Review of Financial Studies, 1995, 8, (4), 1091-1124 View citations (99)

1994

25. Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect
    Financial Management, 1994, 23, (4) View citations (10)
26. Electronic Screen Trading and the Transmission of Information: An Empirical Examination
    Journal of Financial Intermediation, 1994, 3, (2), 166-187 View citations (53)

1993

27. Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market
    Journal of Financial and Quantitative Analysis, 1993, 28, (3), 381-397 View citations (48)
28. The valuation of options on coupon bonds
    Journal of Banking & Finance, 1993, 17, (1), 27-42 View citations (13)

1992

29. Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle
    The Journal of Business, 1992, 65, (4), 571-92 View citations (23)
30. Dual Trading in Futures Markets
    Journal of Finance, 1992, 47, (2), 643-71 View citations (60)
31. Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
    Journal of Finance, 1992, 47, (4), 1259-82 View citations (309)
32. Multiple equilibria and term structure models
    Journal of Financial Economics, 1992, 32, (3), 333-344 View citations (17)

1991

33. General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
    Journal of Financial and Quantitative Analysis, 1991, 26, (3), 287-308 View citations (27)

1990

34. Pricing Options with Extendible Maturities: Analysis and Applications
    Journal of Finance, 1990, 45, (3), 935-57 View citations (27)
35. The valuation of options on yields
    Journal of Financial Economics, 1990, 26, (1), 97-121 View citations (20)
36. Time Varying Term Premia and Traditional Hypotheses about the Term Structure
    Journal of Finance, 1990, 45, (4), 1307-14 View citations (11)

1989

37. A nonlinear general equilibrium model of the term structure of interest rates
    Journal of Financial Economics, 1989, 23, (2), 195-224 View citations (63)