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 0 1 2 573
Asset Mispricing 0 0 1 46 0 0 1 191
Corporate Bond Default Risk: A 150-Year Perspective 0 0 3 101 0 3 8 365
Corporate Earnings and the Equity Premium 0 0 0 213 0 0 2 747
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 0 90 0 1 6 202
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 0 0 4 617 0 2 13 1,705
Deflation Risk 0 0 1 55 0 0 5 150
Disagreement and Asset Prices 1 1 1 93 2 3 9 194
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 0 0 2 8 1 1 5 17
Dynamic Asset Allocation With Event Risk 0 0 1 183 2 2 4 403
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 4 229 0 0 6 972
Financial Sophistication and Bank Market Power 1 10 11 11 5 14 19 19
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 0 0 1 29 0 0 3 83
How Sovereign is Sovereign Credit Risk? 0 1 4 305 0 3 10 908
Inflation Tracking Portfolios 0 0 1 31 1 2 3 92
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 0 0 4 4 0 0 9 9
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 0 0 2 177
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 2 41 0 0 4 120
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 0 0 0 314
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 0 131 0 0 0 490
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 0 0 108 0 0 1 551
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 0 0 1 53
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 1 1 22 0 1 3 97
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 0 210 0 0 2 482
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 0 1 2 190
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 0 0 8 2,491
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 1 1 5 1,849
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 0 0 1 40
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 0 0 47 1 2 5 100
Treasury Richness 0 0 0 11 0 1 3 47
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 0 0 0 521
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 132 0 0 0 534
Valuing Thinly-Traded Assets 0 0 2 40 0 0 6 131
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 0 0 0 487
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 0 0 2 460
Total Working Papers 2 13 43 4,910 13 38 150 15,764


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 28 1,424 1 4 69 3,295
A nonlinear general equilibrium model of the term structure of interest rates 0 0 2 218 2 4 9 404
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 7 204 1 1 16 645
Arbitrage and the Expectations Hypothesis 0 0 0 37 0 1 2 137
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 1 3 595 0 4 8 1,533
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 0 5 13 130 0 12 29 339
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 0 0 2 193
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 0 1 5 411 0 9 29 1,267
Corporate earnings and the equity premium 0 0 0 62 0 0 2 358
Dual Trading in Futures Markets 0 0 0 68 0 0 1 277
Dynamic Asset Allocation with Event Risk 0 1 3 49 2 4 6 309
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 1 148 0 0 2 478
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 0 0 2 220 2 2 8 662
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 1 2 30 0 1 2 117
How Much Can Marketability Affect Security Values? 2 7 27 1,064 2 12 58 1,896
How Sovereign Is Sovereign Credit Risk? 0 0 8 432 6 11 33 1,419
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 0 1 10 843 0 3 28 1,849
Multiple equilibria and term structure models 0 0 0 27 0 1 2 79
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 0 0 4 913
Option Pricing and the Martingale Restriction 1 2 5 421 1 3 8 1,368
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 1 69 0 2 8 401
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 0 0 1 161 0 0 1 425
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 0 198 1 1 1 445
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 2 3 8 441 6 15 44 1,374
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 0 3 249 5 15 64 1,031
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 0 1 142 0 0 2 476
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 0 0 0 69 0 0 1 374
The subprime credit crisis and contagion in financial markets 1 2 21 465 3 10 58 1,396
The term structure of very short-term rates: New evidence for the expectations hypothesis 1 1 5 228 1 1 10 473
The valuation of options on coupon bonds 0 0 2 98 0 0 4 227
The valuation of options on yields 0 1 2 79 0 2 4 164
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 0 0 0 48
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 2 6 181 0 2 15 446
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 0 0 0 82
Two Trees 0 1 2 46 0 6 15 190
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 4 10 54 2,597
Valuing futures and options on volatility 0 0 4 442 0 0 6 792
Total Journal Articles 7 30 172 9,297 37 136 605 28,479


Statistics updated 2025-02-05