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 1 3 5 579
Asset Mispricing 0 0 1 47 0 10 39 231
Corporate Bond Default Risk: A 150-Year Perspective 0 0 0 101 1 9 20 385
Corporate Earnings and the Equity Premium 0 0 0 213 0 4 17 765
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 1 91 3 6 28 231
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 0 1 5 622 1 20 45 1,756
Deflation Risk 0 0 1 56 1 7 24 184
Disagreement and Asset Prices 0 0 0 93 2 8 17 211
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 1 1 2 10 2 4 7 25
Dynamic Asset Allocation With Event Risk 0 0 0 183 0 2 14 417
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 0 229 0 1 7 980
Financial Sophistication and Bank Market Power 0 0 2 15 2 5 17 39
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 1 1 2 31 1 6 14 98
How Sovereign is Sovereign Credit Risk? 0 1 2 307 3 17 45 954
Inflation Tracking Portfolios 0 0 0 32 0 3 13 106
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 0 0 1 5 0 2 8 17
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 1 6 17 195
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 1 42 3 13 27 148
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 2 5 10 324
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 0 132 0 6 14 505
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 1 1 109 1 5 12 563
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 1 5 12 65
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 0 22 0 8 27 124
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 0 212 2 10 57 542
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 0 4 8 199
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 1 12 36 2,531
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 1 6 18 1,871
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 3 6 10 50
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 1 1 48 7 26 40 145
Treasury Richness 1 1 2 13 2 4 9 57
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 0 5 16 538
Two Trees: Asset Price Dynamics Induced by Market Clearing 3 3 3 135 4 12 26 560
Valuing Sticky Deposits 2 3 8 8 5 15 35 35
Valuing Thinly-Traded Assets 0 0 0 40 0 6 18 151
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 0 1 10 497
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 0 5 15 475
Total Working Papers 8 13 33 4,949 50 267 737 16,553

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 1 2 15 1,443 1 20 71 3,378
A nonlinear general equilibrium model of the term structure of interest rates 0 0 1 219 0 0 5 414
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 1 209 0 1 11 663
Arbitrage and the Expectations Hypothesis 0 0 0 37 1 1 5 142
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 0 0 596 3 6 15 1,550
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 1 2 2 134 5 13 27 373
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 0 3 10 203
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1 10 17 433 8 38 80 1,365
Corporate earnings and the equity premium 0 0 1 63 1 5 10 371
Dual Trading in Futures Markets 0 0 0 68 0 4 9 287
Dynamic Asset Allocation with Event Risk 0 0 1 50 1 1 12 322
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 0 148 0 1 5 484
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 0 0 3 223 0 1 11 674
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 1 1 32 0 3 12 131
How Much Can Marketability Affect Security Values? 1 5 18 1,087 6 22 54 1,964
How Sovereign Is Sovereign Credit Risk? 4 6 28 465 4 21 84 1,517
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 0 1 4 848 0 5 18 1,871
Multiple equilibria and term structure models 0 0 0 27 0 1 4 83
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 0 6 15 928
Option Pricing and the Martingale Restriction 0 1 2 427 0 3 15 1,389
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 0 69 0 4 13 415
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 2 3 165 0 8 18 445
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 2 200 0 2 13 458
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 3 5 15 459 7 18 68 1,460
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 1 3 254 1 9 54 1,094
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 1 143 0 1 10 488
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 0 1 71 0 4 10 386
The subprime credit crisis and contagion in financial markets 0 1 15 480 3 10 45 1,443
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 1 9 239 2 6 30 506
The valuation of options on coupon bonds 0 0 0 98 0 0 5 232
The valuation of options on yields 0 0 0 79 0 2 7 172
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 1 4 11 59
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 1 1 1 182 1 5 12 461
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 0 0 5 87
Two Trees 0 0 0 46 0 2 13 204
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 7 27 86 2,697
Valuing futures and options on volatility 0 0 2 444 0 5 14 806
Total Journal Articles 12 39 146 9,484 52 262 887 29,522

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Statistics updated 2026-06-04