Search filters

List of works by Francis Longstaff

An Empirical Analysis of the Pricing of Collateralized Debt Obligations

scientific article published in May 2006

Asset Mispricing

scientific article published in March 2017

Corporate Bond Default Risk: A 150-Year Perspective

Corporate Earnings and the Equity Premium

Corporate Taxes and Capital Structure: A Long-Term Historical Perspective

scientific article published in August 2014

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Deflation Risk

scientific article published in July 2013

Disagreement and Asset Prices

scientific article published in December 2012

Dynamic Asset Allocation With Event Risk

Financial Claustrophobia: Asset Pricing in Illiquid Markets

scientific article published in April 2004

Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes

How Sovereign is Sovereign Credit Risk?

scientific article published in December 2007

Inflation Tracking Portfolios

scientific article published in June 2012

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

scientific article published in February 2012

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

scientific article published in March 2016

Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?

scientific article published in January 2009

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

scientific article published in April 2004

Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?

scholarly article published May 2002

Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market

scientific article published in November 2020

Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints

scientific article published in January 2018

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

scientific article published in November 2002

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

The Market Risk Premium for Unsecured Consumer Credit Risk

scientific article published in November 2020

The U.S. Debt Restructuring of 1933: Consequences and Lessons

scientific article published in November 2015

Two Trees: Asset Price Dynamics Induced by Market Clearing

Valuing Thinly-Traded Assets

scientific article published in October 2014

Valuing Toxic Assets: An Analysis of CDO Equity

scientific article published in April 2009

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

scientific article published in September 2010