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 1 1 3 576
Asset Mispricing 0 0 1 47 19 25 27 218
Corporate Bond Default Risk: A 150-Year Perspective 0 0 0 101 4 6 11 376
Corporate Earnings and the Equity Premium 0 0 0 213 5 8 12 759
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective 0 0 1 91 1 8 17 219
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market 0 1 3 620 5 13 28 1,733
Deflation Risk 0 0 1 56 7 13 25 175
Disagreement and Asset Prices 0 0 0 93 4 5 6 200
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 0 1 1 9 0 2 4 21
Dynamic Asset Allocation With Event Risk 0 0 0 183 5 11 12 415
Financial Claustrophobia: Asset Pricing in Illiquid Markets 0 0 0 229 4 6 7 979
Financial Sophistication and Bank Market Power 0 1 4 15 4 8 15 34
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes 1 1 1 30 5 6 8 91
How Sovereign is Sovereign Credit Risk? 0 0 1 306 8 15 21 929
Inflation Tracking Portfolios 0 0 1 32 3 7 9 101
Is Maturity-Transformation Risk Priced into Bank Deposit Rates? 1 1 1 5 2 3 5 14
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective 0 0 0 57 4 8 11 188
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 1 42 6 9 15 135
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? 0 0 0 56 2 4 4 318
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities 0 0 1 132 4 4 8 498
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? 0 0 0 108 1 2 6 557
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market 0 0 0 19 5 7 7 60
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints 0 0 0 22 4 9 10 107
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 0 0 2 212 25 33 41 523
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions 0 0 0 25 2 3 5 195
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 0 0 0 487 7 16 26 2,517
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads 0 0 0 831 4 9 16 1,865
The Market Risk Premium for Unsecured Consumer Credit Risk 0 0 0 10 2 3 4 44
The U.S. Debt Restructuring of 1933: Consequences and Lessons 0 0 0 47 7 13 19 119
Treasury Richness 0 0 1 12 2 3 6 53
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 132 3 7 13 547
Two Trees: Asset Price Dynamics Induced by Market Clearing 0 0 0 152 6 10 12 533
Valuing Sticky Deposits 5 5 5 5 14 14 14 14
Valuing Thinly-Traded Assets 0 0 0 40 3 7 10 141
Valuing Toxic Assets: An Analysis of CDO Equity 0 0 0 204 5 7 8 495
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle 0 0 0 109 5 7 10 470
Total Working Papers 7 10 25 4,935 188 312 455 16,219

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 6 17 1,441 12 28 61 3,356
A nonlinear general equilibrium model of the term structure of interest rates 0 0 1 219 2 4 10 414
An Empirical Analysis of the Pricing of Collateralized Debt Obligations 0 0 5 209 3 6 17 662
Arbitrage and the Expectations Hypothesis 0 0 0 37 1 4 4 141
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle 0 0 1 596 1 4 7 1,540
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market 0 0 2 132 2 10 19 358
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect 0 0 0 0 4 7 7 200
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 0 1 10 421 5 15 52 1,319
Corporate earnings and the equity premium 0 1 1 63 1 2 6 364
Dual Trading in Futures Markets 0 0 0 68 1 2 3 280
Dynamic Asset Allocation with Event Risk 0 0 1 50 3 8 12 321
Electronic Screen Trading and the Transmission of Information: An Empirical Examination 0 0 0 148 1 3 5 483
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program 0 0 3 223 3 5 10 672
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence 0 0 1 31 1 4 9 126
How Much Can Marketability Affect Security Values? 1 4 17 1,081 5 17 45 1,941
How Sovereign Is Sovereign Credit Risk? 2 7 23 455 10 24 65 1,484
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 1 2 4 847 4 5 14 1,863
Multiple equilibria and term structure models 0 0 0 27 1 2 2 81
Optimal Portfolio Choice and the Valuation of Illiquid Securities 0 0 0 2 2 4 6 919
Option Pricing and the Martingale Restriction 0 0 5 426 4 10 18 1,386
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? 0 0 0 69 1 7 8 409
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets 1 1 2 163 5 9 11 436
Pricing Options with Extendible Maturities: Analysis and Applications 0 0 2 200 4 5 10 455
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices 2 3 12 453 11 23 65 1,439
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks 0 0 4 253 16 27 48 1,079
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence 0 1 1 143 2 4 8 484
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds 1 1 2 71 1 1 8 382
The subprime credit crisis and contagion in financial markets 0 1 14 479 3 10 37 1,433
The term structure of very short-term rates: New evidence for the expectations hypothesis 0 1 9 237 5 13 25 498
The valuation of options on coupon bonds 0 0 0 98 0 3 5 232
The valuation of options on yields 0 0 0 79 1 4 6 170
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate 0 0 0 9 2 5 7 55
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 0 0 0 181 3 3 10 456
Time Varying Term Premia and Traditional Hypotheses about the Term Structure 0 0 0 29 2 4 4 86
Two Trees 0 0 0 46 4 6 11 201
Valuing American Options by Simulation: A Simple Least-Squares Approach 0 0 0 6 9 25 64 2,661
Valuing futures and options on volatility 1 1 1 443 2 4 6 798
Total Journal Articles 13 30 138 9,435 137 317 705 29,184

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Statistics updated 2026-02-12