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 0 198 1 2 5 549
Asset Mispricing 0 1 3 36 3 9 27 92
Corporate Bond Default Risk: A 150-Year Perspective 2 2 10 92 4 7 30 305
Corporate Earnings and the Equity Premium 0 0 2 212 1 5 29 701
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 2 7 82 3 10 23 114
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 1 1 2 594 3 11 23 1,567
Deflation Risk 0 0 0 51 0 0 7 128
Disagreement and Asset Prices 0 0 0 91 1 4 13 166
Dynamic Asset Allocation With Event Risk 0 0 0 182 0 1 7 386
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 0 221 1 1 5 944
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 1 24 0 2 12 51
How Sovereign is Sovereign Credit Risk? 0 0 0 289 2 7 20 859
Inflation Tracking Portfolios 0 0 1 29 0 0 4 77
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 3 54 1 2 13 157
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 2 4 32 1 4 12 76
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 2 55 0 0 4 304
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 0 131 1 4 9 427
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 1 1 1 107 1 1 6 534
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 5 14 0 3 13 53
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 5 191 1 2 24 423
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 1 1 24 1 3 6 179
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 1 1 7 481 5 11 46 2,408
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 827 0 3 8 1,825
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 1 1 43 0 1 11 63
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 150 0 0 5 510
Two Trees: Asset Price Dynamics Induced by Market Clearing 1 1 2 129 1 1 4 522
Valuing Thinly-Traded Assets 0 0 0 37 1 1 9 101
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 199 0 5 20 467
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 106 2 6 16 435
Total Working Papers 6 13 57 4,681 34 106 411 14,423


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 4 14 54 1,221 11 40 182 2,736
A nonlinear general equilibrium model of the term structure of interest rates 1 5 12 202 1 6 18 359
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 1 7 183 2 6 32 563
Arbitrage and the Expectations Hypothesis 0 1 1 35 0 1 5 124
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 2 3 18 575 2 4 40 1,459
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 1 1 11 52 2 3 24 177
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 1 1 8 185
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 0 1 7 384 4 11 62 1,124
Corporate earnings and the equity premium 0 0 0 51 0 4 18 282
Dual Trading in Futures Markets 0 0 1 65 0 1 8 259
Dynamic Asset Allocation with Event Risk 0 0 1 41 1 5 27 270
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 2 5 137 0 6 19 455
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 2 3 6 204 4 7 22 609
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 1 1 26 0 2 6 103
How Much Can Marketability Affect Security Values? 7 10 32 946 11 15 71 1,664
How Sovereign Is Sovereign Credit Risk? 0 3 20 390 9 26 112 1,261
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 5 7 42 780 8 24 121 1,665
Multiple equilibria and term structure models 0 0 0 25 0 0 2 71
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 1 2 17 876
Option Pricing and the Martingale Restriction 0 1 3 405 1 5 19 1,329
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 2 4 62 0 7 33 359
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 0 1 152 0 2 18 404
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 1 192 2 4 7 421
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 4 8 35 378 10 22 92 1,119
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 1 4 232 1 6 30 835
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 0 138 1 1 7 456
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 0 0 66 0 2 10 361
The subprime credit crisis and contagion in financial markets 12 19 38 368 19 35 95 1,112
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 2 8 202 1 5 20 421
The valuation of options on coupon bonds 0 0 0 93 0 1 4 217
The valuation of options on yields 0 0 0 75 0 0 2 153
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 8 0 0 2 45
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 0 0 171 1 2 7 419
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 1 3 29 0 2 6 78
Two Trees 0 0 0 39 0 1 10 146
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 3 16 77 2,296
Valuing futures and options on volatility 0 0 3 419 0 1 16 739
Total Journal Articles 38 86 318 8,354 96 276 1,249 25,152


Statistics updated 2020-11-03