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 3 203 0 0 4 571
Asset Mispricing 0 1 1 46 0 1 10 191
Corporate Bond Default Risk: A 150-Year Perspective 0 2 2 100 0 2 7 359
Corporate Earnings and the Equity Premium 0 0 0 213 0 1 6 746
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 1 90 3 4 12 200
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 0 1 2 614 1 3 10 1,696
Deflation Risk 0 1 1 55 0 1 3 147
Disagreement and Asset Prices 0 0 0 92 0 1 2 186
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 1 1 8 8 1 2 16 16
Dynamic Asset Allocation With Event Risk 0 1 1 183 1 2 4 401
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 1 4 227 0 2 8 969
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 1 28 1 1 5 81
How Sovereign is Sovereign Credit Risk? 0 0 2 302 0 2 9 901
Inflation Tracking Portfolios 0 0 1 30 0 0 3 89
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 0 0 2 176
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 1 2 40 0 2 8 119
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 0 0 1 314
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 0 131 0 0 8 490
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 0 0 108 0 0 0 550
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 1 19 0 1 5 53
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 1 21 0 1 7 95
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 0 210 0 1 6 481
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 1 1 2 189
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 2 4 7 2,487
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 0 3 6 1,848
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 1 10 0 0 3 39
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 0 0 47 0 2 8 97
Treasury Richness 0 0 0 11 1 1 4 45
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 0 521
Valuing Thinly-Traded Assets 1 1 1 39 1 1 8 127
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 0 0 1 487
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 0 0 2 458
Total Working Papers 2 10 33 4,880 12 39 177 15,663


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 3 10 39 1,409 8 22 93 3,260
A nonlinear general equilibrium model of the term structure of interest rates 0 2 4 218 0 3 7 398
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 2 9 200 0 4 21 634
Arbitrage and the Expectations Hypothesis 0 0 1 37 0 0 2 135
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 1 3 594 0 3 8 1,529
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 1 3 41 121 1 5 69 317
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 1 2 2 193
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1 1 5 407 2 6 22 1,245
Corporate earnings and the equity premium 0 0 2 62 0 0 7 356
Dual Trading in Futures Markets 0 0 0 68 0 0 5 276
Dynamic Asset Allocation with Event Risk 0 0 1 47 0 0 4 304
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 2 147 0 0 3 476
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 0 0 3 218 0 2 11 657
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 1 1 29 0 1 3 116
How Much Can Marketability Affect Security Values? 3 7 37 1,047 6 11 60 1,853
How Sovereign Is Sovereign Credit Risk? 1 6 15 431 1 13 30 1,401
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 2 3 12 837 8 12 33 1,835
Multiple equilibria and term structure models 0 0 1 27 0 0 2 77
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 1 3 7 912
Option Pricing and the Martingale Restriction 0 1 2 417 0 2 5 1,362
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 1 2 69 0 1 9 395
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 1 2 161 0 1 3 425
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 2 198 0 0 3 444
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 2 6 435 3 7 21 1,339
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 1 2 8 248 10 18 46 985
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 1 1 142 0 1 7 475
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 0 0 69 0 0 0 373
The subprime credit crisis and contagion in financial markets 3 5 15 449 8 14 52 1,353
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 3 5 226 1 5 9 468
The valuation of options on coupon bonds 0 1 2 97 0 1 2 224
The valuation of options on yields 0 0 1 77 0 0 2 160
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 1 9 0 0 1 48
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 1 1 2 176 7 7 10 439
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 0 0 0 82
Two Trees 0 0 1 44 0 1 6 176
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 9 26 87 2,577
Valuing futures and options on volatility 0 1 7 440 0 1 12 790
Total Journal Articles 16 55 233 9,193 66 172 664 28,089


Statistics updated 2024-06-06