Francis A. Longstaff

Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling It?

Year: 2002
Journal: Journal of Financial Economics
Authors: Matthias Kahl; Jun Liu; Francis A. Longstaff

Dynamic Asset Allocation with Event Risk

Year: 2002
Journal: Journal of Finance
Authors: Jun Liu; Francis A. Longstaff; Jun Pan

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

Year: 2002
Journal: No Journal Matched
Authors: Francis A. Longstaff

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

Year: 2002
Journal: No Journal Matched
Authors: Jun Liu; Francis A. Longstaff; Ravit E. Mandell

Corporate Earnings and the Equity Premium

Year: 2003
Journal: Journal of Financial Economics
Authors: Francis A. Longstaff; Monika Piazzesi

Two Trees: Asset Price Dynamics Induced by Market Clearing

Year: 2003
Journal: Review of Financial Studies
Authors: John H. Cochrane; Francis A. Longstaff; Pedro Santa-Clara

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

Year: 2004
Journal: Real Estate Economics
Authors: Francis A. Longstaff

Financial Claustrophobia: Asset Pricing in Illiquid Markets

Year: 2004
Journal: No Journal Matched
Authors: Francis A. Longstaff

An Empirical Analysis of the Pricing of Collateralized Debt Obligations

Year: 2006
Journal: Journal of Finance
Authors: Francis A. Longstaff; Arvind Rajan

How Sovereign is Sovereign Credit Risk

Year: 2007
Journal: American Economic Journal: Macroeconomics
Authors: Francis A. Longstaff; Jun Pan; Lasse H. Pedersen; Kenneth J. Singleton

Valuing Toxic Assets: An Analysis of CDO Equity

Year: 2009
Journal: No Journal Matched
Authors: Francis A. Longstaff; Brett Myers

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

Year: 2009
Journal: Journal of Finance
Authors: Francis A. Longstaff

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

Year: 2010
Journal: Journal of Finance
Authors: Matthias Fleckenstein; Francis A. Longstaff; Hanno Lustig

Corporate Bond Default Risk: A 150-Year Perspective

Year: 2010
Journal: Journal of Financial Economics
Authors: Kay Giesecke; Francis A. Longstaff; Stephen Schaefer; Ilya Strebulaev

Systemic Sovereign Credit Risk: Lessons from the US and Europe

Year: 2011
Journal: Journal of Monetary Economics
Authors: Andrew Ang; Francis A. Longstaff

Inflation Tracking Portfolios

Year: 2012
Journal: No Journal Matched
Authors: Christopher T. Downing; Francis A. Longstaff; Michael A. Rierson

Disagreement and Asset Prices

Year: 2012
Journal: Journal of Financial Economics
Authors: Bruce I. Carlin; Francis A. Longstaff; Kyle Matoba

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

Year: 2012
Journal: Journal of Financial Economics
Authors: Kay Giesecke; Francis A. Longstaff; Stephen Schaefer; Ilya Strebulaev

Deflation Risk

Year: 2013
Journal: Review of Financial Studies
Authors: Matthias Fleckenstein; Francis A. Longstaff; Hanno Lustig

Valuing Thinly Traded Assets

Year: 2014
Journal: Management Science
Authors: Francis A. Longstaff

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

Year: 2014
Journal: No Journal Matched
Authors: Francis A. Longstaff; Ilya A. Strebulaev

The US Debt Restructuring of 1933: Consequences and Lessons

Year: 2015
Journal: No Journal Matched
Authors: Sebastian Edwards; Francis A. Longstaff; Alvaro Garcia Marin

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

Year: 2016
Journal: Review of Financial Studies
Authors: Mikhail Chernov; Brett R. Dunn; Francis A. Longstaff

Asset Mispricing

Year: 2017
Journal: Journal of Financial Economics
Authors: Kurt F. Lewis; Francis A. Longstaff; Lubomir Petrasek

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

Year: 2018
Journal: No Journal Matched
Authors: Matthias Fleckenstein; Francis A. Longstaff

Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints

Year: 2018
Journal: No Journal Matched
Authors: Matthias Fleckenstein; Francis A. Longstaff

The Market Risk Premium for Unsecured Consumer Credit Risk

Year: 2020
Journal: Review of Financial Studies
Authors: Matthias Fleckenstein; Francis A. Longstaff

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

Year: 2020
Journal: No Journal Matched
Authors: Matthias Fleckenstein; Francis A. Longstaff

Treasury Richness

Year: 2021
Journal: Journal of Finance
Authors: Matthias Fleckenstein; Francis A. Longstaff

Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?

Year: 2023
Journal: No Journal Matched
Authors: Matthias Fleckenstein; Francis A. Longstaff