Francis A. Longstaff
47 catalog papers. Name-matched publications do not establish a verified researcher identity.
UCLA Anderson School of Business, 110 Westwood Plaza, Los Angeles, CA 90095-1481, USA; National Bureau of Economic Research, 1050 Massachusetts Ave, Ste 32, Cambridge, MA 02138, USA
Publications
- Treasury Richness — The Journal of Finance 2024
- Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market — The Journal of Finance 2023
- Asset mispricing — Journal of Financial Economics 2021
- The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability? — Journal of Financial Economics 2020
- Valuing Thinly Traded Assets — Management Science 2018
- Advance Refundings of Municipal Bonds — The Journal of Finance 2017
- Deflation Risk — The Review of Financial Studies 2017
- Macroeconomic effects of corporate default crisis: A long-term perspective — Journal of Financial Economics 2014
- Disagreement and asset prices — Journal of Financial Economics 2014
- How Does the Market Value Toxic Assets? — Journal of Financial and Quantitative Analysis 2014
- The TIPS-Treasury Bond Puzzle — The Journal of Finance 2014
- Asset Pricing and the Credit Market — The Review of Financial Studies 2012
- Counterparty credit risk and the credit default swap market — Journal of Financial Economics 2012
- Corporate bond default risk: A 150-year perspective — Journal of Financial Economics 2011
- Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices? — The Journal of Finance 2011
- The subprime credit crisis and contagion in financial markets — Journal of Financial Economics 2010
- Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets — American Economic Review 2009
- An Empirical Analysis of the Pricing of Collateralized Debt Obligations — The Journal of Finance 2008
- Two Trees — The Review of Financial Studies 2008
- The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds — The Journal of Finance 2007
- Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? — The Review of Financial Studies 2007
- Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market — The Journal of Finance 2005
- Corporate earnings and the equity premium — Journal of Financial Economics 2004
- Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities — The Review of Financial Studies 2004
- Electricity Forward Prices: A High-Frequency Empirical Analysis — The Journal of Finance 2004
- Dynamic Asset Allocation with Event Risk — The Journal of Finance 2003
- Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? — Journal of Financial Economics 2003
- The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence — The Journal of Finance 2001
- Optimal Portfolio Choice and the Valuation of Illiquid Securities — The Review of Financial Studies 2001
- Valuing American Options by Simulation: A Simple Least-Squares Approach — The Review of Financial Studies 2001
- Arbitrage and the Expectations Hypothesis — The Journal of Finance 2000
- Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program — The Journal of Finance 2000
- The term structure of very short-term rates: New evidence for the expectations hypothesis — Journal of Financial Economics 2000
- A Simple Approach to Valuing Risky Fixed and Floating Rate Debt — The Journal of Finance 1995
- How Much Can Marketability Affect Security Values? — The Journal of Finance 1995
- Option Pricing and the Martingale Restriction — The Review of Financial Studies 1995
- Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market — Journal of Financial and Quantitative Analysis 1993
- Dual Trading in Futures Markets — The Journal of Finance 1992
- Multiple equilibria and term structure models — Journal of Financial Economics 1992
- An Empirical Comparison of Alternative Models of the Short-Term Interest Rate — The Journal of Finance 1992
- Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model — The Journal of Finance 1992
- General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence — Journal of Financial and Quantitative Analysis 1991
- Pricing Options with Extendible Maturities: Analysis and Applications — The Journal of Finance 1990
- Time Varying Term Premia and Traditional Hypotheses about the Term Structure — The Journal of Finance 1990
- The valuation of options on yields — Journal of Financial Economics 1990
- Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model — The Journal of Finance 1989
- A nonlinear general equilibrium model of the term structure of interest rates — Journal of Financial Economics 1989