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 2 2 5 578
Asset Mispricing 0 0 1 47 7 13 39 231
Corporate Bond Default Risk: A 150-Year Perspective 0 0 0 101 6 8 19 384
Corporate Earnings and the Equity Premium 0 0 0 213 1 6 17 765
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 1 91 0 9 25 228
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 1 2 5 622 19 22 46 1,755
Deflation Risk 0 0 1 56 2 8 23 183
Disagreement and Asset Prices 0 0 0 93 4 9 15 209
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 0 0 1 9 2 2 5 23
Dynamic Asset Allocation With Event Risk 0 0 0 183 1 2 14 417
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 0 229 1 1 7 980
Financial Sophistication and Bank Market Power 0 0 3 15 1 3 16 37
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 1 30 4 6 13 97
How Sovereign is Sovereign Credit Risk? 1 1 2 307 8 22 42 951
Inflation Tracking Portfolios 0 0 0 32 3 5 13 106
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 0 0 1 5 2 3 8 17
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 1 6 17 194
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 1 42 6 10 24 145
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 3 4 8 322
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 1 132 6 7 15 505
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 1 1 109 3 5 11 562
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 3 4 11 64
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 0 22 7 17 27 124
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 2 212 0 17 57 540
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 3 4 8 199
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 5 13 35 2,530
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 2 5 18 1,870
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 2 3 7 47
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 1 1 48 11 19 36 138
Treasury Richness 0 0 1 12 2 2 8 55
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 132 6 9 22 556
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 5 5 16 538
Valuing Sticky Deposits 1 1 6 6 5 16 30 30
Valuing Thinly-Traded Assets 0 0 0 40 4 10 18 151
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 0 2 10 497
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 2 5 15 475
Total Working Papers 3 6 29 4,941 139 284 700 16,503

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 1 15 1,442 13 21 72 3,377
A nonlinear general equilibrium model of the term structure of interest rates 0 0 1 219 0 0 7 414
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 2 209 1 1 15 663
Arbitrage and the Expectations Hypothesis 0 0 0 37 0 0 4 141
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 0 0 596 2 7 12 1,547
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 1 1 1 133 3 10 22 368
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 2 3 10 203
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2 11 17 432 18 38 75 1,357
Corporate earnings and the equity premium 0 0 1 63 4 6 10 370
Dual Trading in Futures Markets 0 0 0 68 3 7 9 287
Dynamic Asset Allocation with Event Risk 0 0 1 50 0 0 11 321
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 1 2 11 674
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 1 1 32 2 5 13 131
How Much Can Marketability Affect Security Values? 3 5 18 1,086 8 17 55 1,958
How Sovereign Is Sovereign Credit Risk? 1 6 25 461 9 29 82 1,513
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 0 1 4 848 4 8 18 1,871
Multiple equilibria and term structure models 0 0 0 27 1 2 4 83
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 5 9 15 928
Option Pricing and the Martingale Restriction 1 1 4 427 3 3 17 1,389
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 0 69 3 6 13 415
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 2 2 3 165 6 9 18 445
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 2 200 2 3 13 458
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 1 3 12 456 6 14 67 1,453
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 1 4 254 2 14 55 1,093
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 1 143 1 4 10 488
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 0 2 71 4 4 11 386
The subprime credit crisis and contagion in financial markets 1 1 15 480 4 7 44 1,440
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 2 10 239 2 6 29 504
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 2 2 8 172
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 2 3 10 58
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 0 0 181 2 4 12 460
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 0 1 5 87
Two Trees 0 0 0 46 1 3 13 204
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 7 29 84 2,690
Valuing futures and options on volatility 0 1 2 444 5 8 14 806
Total Journal Articles 12 37 144 9,472 128 286 878 29,470

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Statistics updated 2026-05-06