Access Statistics for Francis A. Longstaff

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 0 203 0 1 3 574
Asset Mispricing 1 1 1 47 1 2 2 193
Corporate Bond Default Risk: A 150-Year Perspective 0 0 1 101 1 1 6 366
Corporate Earnings and the Equity Premium 0 0 0 213 1 1 3 749
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 0 90 1 1 4 204
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 1 1 4 618 1 4 16 1,712
Deflation Risk 0 0 0 55 0 1 12 160
Disagreement and Asset Prices 0 0 1 93 0 0 8 194
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 0 0 0 8 0 0 2 18
Dynamic Asset Allocation With Event Risk 0 0 0 183 0 0 2 403
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 2 229 0 0 4 973
Financial Sophistication and Bank Market Power 0 1 13 13 1 3 23 23
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 1 29 0 0 3 84
How Sovereign is Sovereign Credit Risk? 1 1 3 306 1 2 8 910
Inflation Tracking Portfolios 0 0 1 32 0 0 3 93
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 0 0 4 4 0 0 9 9
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 0 1 2 178
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 1 41 3 3 5 124
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 0 0 0 314
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 1 1 132 1 2 2 492
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 0 0 108 0 0 1 551
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 0 0 0 53
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 1 22 1 1 3 98
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 2 2 212 0 2 4 485
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 0 0 2 191
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 2 2 10 2,497
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 0 2 5 1,853
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 0 0 1 40
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 0 0 47 0 3 8 105
Treasury Richness 0 0 0 11 0 1 3 48
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 132 0 0 0 534
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 0 0 1 522
Valuing Thinly-Traded Assets 0 0 1 40 1 1 7 134
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 0 0 0 487
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 0 0 1 460
Total Working Papers 3 7 37 4,919 15 34 163 15,831


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 0 2 18 1,428 1 4 45 3,308
A nonlinear general equilibrium model of the term structure of interest rates 0 0 0 218 0 3 11 409
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 3 7 208 0 6 17 652
Arbitrage and the Expectations Hypothesis 0 0 0 37 0 0 2 137
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 0 2 596 0 0 6 1,535
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 0 1 10 132 0 3 28 346
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 0 0 0 193
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1 3 9 417 3 11 41 1,288
Corporate earnings and the equity premium 0 0 0 62 0 1 5 361
Dual Trading in Futures Markets 0 0 0 68 0 0 2 278
Dynamic Asset Allocation with Event Risk 0 0 1 49 1 1 6 311
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 0 148 0 0 1 479
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 1 1 3 221 2 2 8 665
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 0 2 31 0 1 3 119
How Much Can Marketability Affect Security Values? 1 4 22 1,070 3 12 55 1,913
How Sovereign Is Sovereign Credit Risk? 0 4 6 437 5 13 36 1,438
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 0 0 5 844 1 3 17 1,854
Multiple equilibria and term structure models 0 0 0 27 0 0 2 79
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 0 0 1 913
Option Pricing and the Martingale Restriction 0 4 6 425 0 5 10 1,374
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 0 69 0 0 7 402
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 0 1 162 0 1 2 427
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 0 198 0 0 1 445
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 2 8 444 3 16 54 1,395
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 1 3 4 252 6 13 52 1,046
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 0 142 0 0 2 478
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 1 1 70 1 2 4 377
The subprime credit crisis and contagion in financial markets 1 1 16 466 3 5 44 1,401
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 1 4 230 0 1 8 476
The valuation of options on coupon bonds 0 0 1 98 0 0 3 227
The valuation of options on yields 0 0 1 79 0 1 4 165
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 0 0 0 48
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 0 5 181 1 2 11 450
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 0 0 0 82
Two Trees 0 0 1 46 1 1 14 192
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 5 11 37 2,616
Valuing futures and options on volatility 0 0 1 442 0 0 1 792
Total Journal Articles 5 30 134 9,343 36 118 540 28,671


Statistics updated 2025-07-04