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
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Working Papers
2024
- Financial Sophistication and Bank Market Power
NBER Working Papers, National Bureau of Economic Research, Inc
- Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
NBER Working Papers, National Bureau of Economic Research, Inc
2023
- Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?
NBER Working Papers, National Bureau of Economic Research, Inc
2021
- Treasury Richness
NBER Working Papers, National Bureau of Economic Research, Inc
2020
- Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market
NBER Working Papers, National Bureau of Economic Research, Inc
- The Market Risk Premium for Unsecured Consumer Credit Risk
NBER Working Papers, National Bureau of Economic Research, Inc
2018
- Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
- Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
2017
- Asset Mispricing
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
2016
- Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
2015
- The U.S. Debt Restructuring of 1933: Consequences and Lessons
NBER Working Papers, National Bureau of Economic Research, Inc
2014
- Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
- Valuing Thinly-Traded Assets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2013
- Deflation Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
2012
- Disagreement and Asset Prices
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
- Inflation Tracking Portfolios
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
- Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
2011
- Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
2010
- Corporate Bond Default Risk: A 150-Year Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
- Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
2009
- 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)
- Valuing Toxic Assets: An Analysis of CDO Equity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
2007
- 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 (615) (2011)
2006
- 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
- 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
- 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 (872) (2005)
- Financial Claustrophobia: Asset Pricing in Illiquid Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
- Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
- 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
- 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
- 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 (181) (2003)
- 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)
- 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 (234) (2004)
- 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
- How Sovereign Is Sovereign Credit Risk?
American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 View citations (615)
See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) View citations (50) (2007)
2010
- The subprime credit crisis and contagion in financial markets
Journal of Financial Economics, 2010, 97, (3), 436-450 View citations (272)
2009
- Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
American Economic Review, 2009, 99, (4), 1119-44 View citations (41)
2008
- 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)
- Two Trees
The Review of Financial Studies, 2008, 21, (1), 347-385 View citations (19)
2007
- The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds
Journal of Finance, 2007, 62, (6), 2673-2693 View citations (12)
2006
- 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
- 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 (872)
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
- 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)
- The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
The Journal of Business, 2004, 77, (3), 511-526 View citations (234)
See also Working Paper The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices, NBER Working Papers (2002) View citations (16) (2002)
2003
- Dynamic Asset Allocation with Event Risk
Journal of Finance, 2003, 58, (1), 231-259 View citations (181)
See also Working Paper Dynamic Asset Allocation With Event Risk, NBER Working Papers (2002) View citations (7) (2002)
- 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
- Optimal Portfolio Choice and the Valuation of Illiquid Securities
The Review of Financial Studies, 2001, 14, (2), 407-31 View citations (86)
- The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
Journal of Finance, 2001, 56, (6), 2067-2109 View citations (43)
- 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 (28)
- Valuing American Options by Simulation: A Simple Least-Squares Approach
The Review of Financial Studies, 2001, 14, (1), 113-47 View citations (988)
2000
- Arbitrage and the Expectations Hypothesis
Journal of Finance, 2000, 55, (2), 989-994 View citations (21)
- 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)
- 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
- Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate
Real Estate Economics, 1996, 24, (1), 23-41 View citations (4)
- Valuing futures and options on volatility
Journal of Banking & Finance, 1996, 20, (6), 985-1001 View citations (94)
1995
- A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
Journal of Finance, 1995, 50, (3), 789-819 View citations (780)
- How Much Can Marketability Affect Security Values?
Journal of Finance, 1995, 50, (5), 1767-74 View citations (73)
- Option Pricing and the Martingale Restriction
The Review of Financial Studies, 1995, 8, (4), 1091-1124 View citations (99)
1994
- Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect
Financial Management, 1994, 23, (4) View citations (10)
- Electronic Screen Trading and the Transmission of Information: An Empirical Examination
Journal of Financial Intermediation, 1994, 3, (2), 166-187 View citations (53)
1993
- 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)
- The valuation of options on coupon bonds
Journal of Banking & Finance, 1993, 17, (1), 27-42 View citations (13)
1992
- Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle
The Journal of Business, 1992, 65, (4), 571-92 View citations (23)
- Dual Trading in Futures Markets
Journal of Finance, 1992, 47, (2), 643-71 View citations (60)
- Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
Journal of Finance, 1992, 47, (4), 1259-82 View citations (309)
- Multiple equilibria and term structure models
Journal of Financial Economics, 1992, 32, (3), 333-344 View citations (17)
1991
- 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
- Pricing Options with Extendible Maturities: Analysis and Applications
Journal of Finance, 1990, 45, (3), 935-57 View citations (27)
- The valuation of options on yields
Journal of Financial Economics, 1990, 26, (1), 97-121 View citations (20)
- Time Varying Term Premia and Traditional Hypotheses about the Term Structure
Journal of Finance, 1990, 45, (4), 1307-14 View citations (11)
1989
- A nonlinear general equilibrium model of the term structure of interest rates
Journal of Financial Economics, 1989, 23, (2), 195-224 View citations (63)
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