Francis A. Longstaff
Names
| first: |
Francis |
| middle: |
A. |
| last: |
Longstaff |
Identifer
Contact
Affiliations
-
University of California-Los Angeles (UCLA)
/ Anderson Graduate School of Management
/ Finance Group
Research profile
author of:
- Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets (RePEc:aea:aecrev:v:99:y:2009:i:4:p:1119-44)
by Francis A. Longstaff - How Sovereign Is Sovereign Credit Risk? (RePEc:aea:aejmac:v:3:y:2011:i:2:p:75-103)
by Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton - Pricing Options with Extendible Maturities: Analysis and Applications (RePEc:bla:jfinan:v:45:y:1990:i:3:p:935-57)
by Longstaff, Francis A - Time Varying Term Premia and Traditional Hypotheses about the Term Structure (RePEc:bla:jfinan:v:45:y:1990:i:4:p:1307-14)
by Longstaff, Francis A - Dual Trading in Futures Markets (RePEc:bla:jfinan:v:47:y:1992:i:2:p:643-71)
by Fishman, Michael J & Longstaff, Francis A - Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (RePEc:bla:jfinan:v:47:y:1992:i:4:p:1259-82)
by Longstaff, Francis A & Schwartz, Eduardo S - A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (RePEc:bla:jfinan:v:50:y:1995:i:3:p:789-819)
by Longstaff, Francis A & Schwartz, Eduardo S - How Much Can Marketability Affect Security Values? (RePEc:bla:jfinan:v:50:y:1995:i:5:p:1767-74)
by Longstaff, Francis A - Arbitrage and the Expectations Hypothesis (RePEc:bla:jfinan:v:55:y:2000:i:2:p:989-994)
by Francis A. Longstaff - Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program (RePEc:bla:jfinan:v:55:y:2000:i:3:p:1415-1436)
by Mark Grinblatt & Francis A. Longstaff - The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (RePEc:bla:jfinan:v:56:y:2001:i:6:p:2067-2109)
by Francis A. Longstaff & Pedro Santa‐Clara & Eduardo S. Schwartz - Dynamic Asset Allocation with Event Risk (RePEc:bla:jfinan:v:58:y:2003:i:1:p:231-259)
by Jun Liu & Francis A. Longstaff & Jun Pan - Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (RePEc:bla:jfinan:v:60:y:2005:i:5:p:2213-2253)
by Francis A. Longstaff & Sanjay Mithal & Eric Neis - The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds (RePEc:bla:jfinan:v:62:y:2007:i:6:p:2673-2693)
by Bing Han & Francis A. Longstaff & Craig Merrill - An Empirical Analysis of the Pricing of Collateralized Debt Obligations (RePEc:bla:jfinan:v:63:y:2008:i:2:p:529-563)
by Francis A. Longstaff & Arvind Rajan - Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate (RePEc:bla:reesec:v:24:y:1996:i:1:p:23-41)
by Bradford Cornell & Francis A. Longstaff & Eduardo S. Schwartz - General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence (RePEc:cup:jfinqa:v:26:y:1991:i:03:p:287-308_00)
by Hemler, Michael L. & Longstaff, Francis A. - Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market (RePEc:cup:jfinqa:v:28:y:1993:i:03:p:381-397_00)
by George, Thomas J. & Longstaff, Francis A. - The Cherry-Picking Option in the U.S. Treasury Buyback Auctions (RePEc:ecl:ohidic:2004-23)
by Han, Bing & Longstaff, Francis A. & Merrill, Craig - The valuation of options on coupon bonds (RePEc:eee:jbfina:v:17:y:1993:i:1:p:27-42)
by Longstaff, Francis A. - Valuing futures and options on volatility (RePEc:eee:jbfina:v:20:y:1996:i:6:p:985-1001)
by Grunbichler, Andreas & Longstaff, Francis A. - A nonlinear general equilibrium model of the term structure of interest rates (RePEc:eee:jfinec:v:23:y:1989:i:2:p:195-224)
by Longstaff, Francis A. - The valuation of options on yields (RePEc:eee:jfinec:v:26:y:1990:i:1:p:97-121)
by Longstaff, Francis A. - Multiple equilibria and term structure models (RePEc:eee:jfinec:v:32:y:1992:i:3:p:333-344)
by Longstaff, Francis A. - The term structure of very short-term rates: New evidence for the expectations hypothesis (RePEc:eee:jfinec:v:58:y:2000:i:3:p:397-415)
by Longstaff, Francis A. - Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (RePEc:eee:jfinec:v:62:y:2001:i:1:p:39-66)
by Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S. - Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? (RePEc:eee:jfinec:v:67:y:2003:i:3:p:385-410)
by Kahl, Matthias & Liu, Jun & Longstaff, Francis A. - Corporate earnings and the equity premium (RePEc:eee:jfinec:v:74:y:2004:i:3:p:401-421)
by Longstaff, Francis A. & Piazzesi, Monika - The subprime credit crisis and contagion in financial markets (RePEc:eee:jfinec:v:97:y:2010:i:3:p:436-450)
by Longstaff, Francis A. - Electronic Screen Trading and the Transmission of Information: An Empirical Examination (RePEc:eee:jfinin:v:3:y:1994:i:2:p:166-187)
by Grunbichler Andreas & Longstaff Francis A. & Schwartz Eduardo S. - Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect (RePEc:fma:fmanag:longstaff94)
by Francis A. Longstaff & Bruce A. Tuckman - Corporate Earnings and the Equity Premium (RePEc:nbr:nberwo:10054)
by Francis Longstaff & Monika Piazzesi - Two Trees: Asset Price Dynamics Induced by Market Clearing (RePEc:nbr:nberwo:10116)
by John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara - Financial Claustrophobia: Asset Pricing in Illiquid Markets (RePEc:nbr:nberwo:10411)
by Francis A. Longstaff - Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market (RePEc:nbr:nberwo:10418)
by Francis A. Longstaff & Sanjay Mithal & Eric Neis - Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities (RePEc:nbr:nberwo:10422)
by Francis A. Longstaff - An Empirical Analysis of the Pricing of Collateralized Debt Obligations (RePEc:nbr:nberwo:12210)
by Francis A. Longstaff & Arvind Rajan - How Sovereign is Sovereign Credit Risk? (RePEc:nbr:nberwo:13658)
by Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton - Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? (RePEc:nbr:nberwo:14687)
by Francis A. Longstaff - Valuing Toxic Assets: An Analysis of CDO Equity (RePEc:nbr:nberwo:14871)
by Francis A. Longstaff & Brett Myers - Corporate Bond Default Risk: A 150-Year Perspective (RePEc:nbr:nberwo:15848)
by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev - Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle (RePEc:nbr:nberwo:16358)
by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig - Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (RePEc:nbr:nberwo:16982)
by Andrew Ang & Francis A. Longstaff - Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective (RePEc:nbr:nberwo:17854)
by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev - Inflation Tracking Portfolios (RePEc:nbr:nberwo:18135)
by Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson - Disagreement and Asset Prices (RePEc:nbr:nberwo:18619)
by Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba - Deflation Risk (RePEc:nbr:nberwo:19238)
by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig - Corporate Taxes and Capital Structure: A Long-Term Historical Perspective (RePEc:nbr:nberwo:20372)
by Francis A. Longstaff & Ilya A. Strebulaev - Valuing Thinly-Traded Assets (RePEc:nbr:nberwo:20589)
by Francis Longstaff - The U.S. Debt Restructuring of 1933: Consequences and Lessons (RePEc:nbr:nberwo:21694)
by Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin - Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (RePEc:nbr:nberwo:22096)
by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff - Asset Mispricing (RePEc:nbr:nberwo:23231)
by Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek - Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints (RePEc:nbr:nberwo:24224)
by Matthias Fleckenstein & Francis A. Longstaff - Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes (RePEc:nbr:nberwo:25216)
by Matthias Fleckenstein & Francis A. Longstaff - The Market Risk Premium for Unsecured Consumer Credit Risk (RePEc:nbr:nberwo:28029)
by Matthias Fleckenstein & Francis A. Longstaff - Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market (RePEc:nbr:nberwo:28134)
by Matthias Fleckenstein & Francis A. Longstaff - Treasury Richness (RePEc:nbr:nberwo:29081)
by Matthias Fleckenstein & Francis A. Longstaff - Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? (RePEc:nbr:nberwo:31389)
by Matthias Fleckenstein & Francis A. Longstaff - Is Maturity-Transformation Risk Priced into Bank Deposit Rates? (RePEc:nbr:nberwo:32724)
by Matthias Fleckenstein & Francis A. Longstaff - Financial Sophistication and Bank Market Power (RePEc:nbr:nberwo:33049)
by Matthias Fleckenstein & Francis A. Longstaff - Valuing Sticky Deposits (RePEc:nbr:nberwo:34641)
by Matthias Fleckenstein & Shohini Kundu & Francis A. Longstaff - Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? (RePEc:nbr:nberwo:8969)
by Matthias Kahl & Jun Liu & Francis A. Longstaff - The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (RePEc:nbr:nberwo:8990)
by Jun Liu & Francis A. Longstaff & Ravit E. Mandell - Dynamic Asset Allocation With Event Risk (RePEc:nbr:nberwo:9103)
by Jun Liu & Francis A. Longstaff & Jun Pan - The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (RePEc:nbr:nberwo:9312)
by Francis A. Longstaff - Valuing American Options by Simulation: A Simple Least-Squares Approach (RePEc:oup:rfinst:v:14:y:2001:i:1:p:113-47)
by Longstaff, Francis A & Schwartz, Eduardo S - Optimal Portfolio Choice and the Valuation of Illiquid Securities (RePEc:oup:rfinst:v:14:y:2001:i:2:p:407-31)
by Longstaff, Francis A - Two Trees (RePEc:oup:rfinst:v:21:y:2008:i:1:p:347-385)
by John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara - Option Pricing and the Martingale Restriction (RePEc:oup:rfinst:v:8:y:1995:i:4:p:1091-1124)
by Longstaff, Francis A - Two Trees: Asset Price Dynamics Induced by Market Clearing (RePEc:red:sed004:126)
by John H. Cochrane & Francis Longstaff - Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle (RePEc:ucp:jnlbus:v:65:y:1992:i:4:p:571-92)
by Longstaff, Francis A - The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (RePEc:ucp:jnlbus:v:77:y:2004:i:3:p:511-526)
by Francis A. Longstaff - The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (RePEc:ucp:jnlbus:v:79:y:2006:i:5:p:2337-2360)
by Jun Liu & Francis A. Longstaff & Ravit E. Mandell