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 6 9 13 588
Asset Mispricing 0 0 0 47 3 6 45 238
Corporate Bond Default Risk: A 150-Year Perspective 0 0 0 101 4 5 20 390
Corporate Earnings and the Equity Premium 0 0 0 213 3 3 18 769
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 0 91 2 3 25 236
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 0 0 3 622 4 4 46 1,766
Deflation Risk 0 0 0 56 2 2 25 187
Disagreement and Asset Prices 0 0 0 93 4 5 24 219
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 0 0 2 10 2 2 8 27
Dynamic Asset Allocation With Event Risk 0 0 0 183 0 2 19 423
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 0 229 2 3 10 983
Financial Sophistication and Bank Market Power 1 1 2 16 1 1 14 40
Fixed/Floating Interest Rate Parity 0 0 0 0 0 0 0 0
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 2 31 0 0 13 98
How Sovereign is Sovereign Credit Risk? 0 1 4 310 3 8 53 967
Inflation Tracking Portfolios 0 0 0 32 3 4 16 110
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 0 0 1 5 0 0 8 19
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 6 7 22 202
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 0 42 2 8 31 157
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 4 5 15 329
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 0 132 0 0 12 506
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 0 1 109 6 9 17 572
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 2 2 15 68
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 1 1 1 23 1 1 27 125
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 1 1 1 213 5 7 62 552
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 2 2 9 201
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 3 9 42 2,543
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 1 3 19 1,875
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 1 3 12 53
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 0 1 48 4 15 61 167
Treasury Richness 0 0 1 13 3 3 10 60
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 3 135 1 1 21 561
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 1 1 16 539
Valuing Sticky Deposits 0 1 12 12 0 6 45 45
Valuing Thinly-Traded Assets 0 0 0 40 1 2 19 153
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 1 1 10 498
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 3 5 18 481
Total Working Papers 3 5 34 4,959 86 147 840 16,747

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 2 3 13 1,448 13 19 75 3,403
A nonlinear general equilibrium model of the term structure of interest rates 0 0 0 219 4 4 8 418
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 0 209 1 2 10 666
Arbitrage and the Expectations Hypothesis 0 0 0 37 4 4 9 146
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 1 1 597 3 5 20 1,556
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 1 3 6 138 4 10 38 386
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 3 4 15 208
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 4 5 18 438 11 30 96 1,400
Corporate earnings and the equity premium 0 0 1 63 2 3 12 374
Dual Trading in Futures Markets 0 0 0 68 2 3 12 290
Dynamic Asset Allocation with Event Risk 0 0 0 50 3 3 13 326
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 0 148 4 4 9 489
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 0 0 2 225 1 2 14 681
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 0 1 32 0 2 11 133
How Much Can Marketability Affect Security Values? 2 5 20 1,097 8 16 64 1,988
How Sovereign Is Sovereign Credit Risk? 1 3 23 471 8 16 81 1,541
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 0 1 5 850 2 3 18 1,876
Multiple equilibria and term structure models 0 0 0 27 0 1 6 85
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 3 4 18 933
Option Pricing and the Martingale Restriction 0 0 2 428 2 4 18 1,394
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 0 69 3 7 20 422
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 0 3 165 1 2 21 448
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 0 200 2 4 12 462
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 2 13 463 6 12 65 1,481
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 0 2 255 1 8 53 1,105
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 1 143 2 6 16 496
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 1 2 72 3 8 15 396
The subprime credit crisis and contagion in financial markets 1 2 6 484 6 8 33 1,456
The term structure of very short-term rates: New evidence for the expectations hypothesis 2 2 5 241 3 5 26 511
The valuation of options on coupon bonds 0 1 2 100 1 2 7 236
The valuation of options on yields 0 0 0 79 2 2 9 175
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 2 2 11 61
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 0 2 183 3 5 15 468
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 1 1 7 89
Two Trees 0 0 0 46 2 4 14 209
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 6 25 101 2,737
Valuing futures and options on volatility 0 0 2 444 4 5 17 811
Total Journal Articles 13 29 130 9,535 126 245 989 29,856

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Statistics updated 2026-11-12