Richard Stanton

University of California, Berkeley - Haas School of Business

Professor

Haas School of Business

545 Student Services Building #1900

Berkeley, CA 94720-1900

United States

SCHOLARLY PAPERS

31

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8,926

CITATIONS
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120

Scholarly Papers (31)

1.

The Assumptions and Math Behind Wacc and Apv Calculations

Number of pages: 19 Posted: 05 Nov 2005 Last Revised: 24 Nov 2008
Richard Stanton and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and ASU WP Carey School of Business
Downloads 2,821 (3,979)
Citation 6

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WACC, APV, Cost of Capital

A Liquidity-Based Theory of Closed-End Funds

EFA 2006 Zurich Meetings, Sixteenth Annual Utah Winter Finance Conference
Number of pages: 50 Posted: 24 Mar 2005
Martin Cherkes, Richard Stanton and Jacob S. Sagi
NYU, University of California, Berkeley - Haas School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 690 (35,395)
Citation 62

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theory of closed-end funds

A Liquidity-Based Theory of Closed-End Funds

The Review of Financial Studies, Vol. 22, Issue 1, pp. 257-297, 2009
Posted: 03 Jan 2009
Martin Cherkes, Jacob S. Sagi and Richard Stanton
NYU, University of North Carolina Kenan-Flagler Business School and University of California, Berkeley - Haas School of Business

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Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 638 (39,263)
Citation 1

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Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 558 (46,973)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NBER Working Paper No. w7213
Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 13 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 41 (423,599)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 34 (453,823)

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5.
Downloads 591 ( 44,180)
Citation 7

Consumer Lending Discrimination in the FinTech Era

UC Berkeley Public Law Research Paper
Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 08 Dec 2017
University of California, Berkeley - School of Law, University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 574 (45,250)
Citation 9

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Discrimination, FinTech, Mortgages, Credit Scoring, Algorithmic Underwriting, Big Data Lending, Platform Loans, Disparate Impact

Consumer-Lending Discrimination in the Fintech Era

NBER Working Paper No. w25943
Number of pages: 44 Posted: 17 Jun 2019
University of California, Berkeley - School of Law, University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 17 (551,911)
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6.

An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?

FEDS Working Paper No. 2003-42
Number of pages: 40 Posted: 17 Oct 2003
Chris Downing, Richard Stanton and Nancy Wallace
BlackRock, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 543 (49,206)
Citation 36

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Prepayment, default, mortgage, valuation, house price, transaction cost, heterogeneity

7.

Mortgage Choice: What's the Point?

Number of pages: 30 Posted: 12 Jul 1995
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 473 (58,619)
Citation 60

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8.

The Bear's Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis

Number of pages: 29 Posted: 16 Jul 2009
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 369 (78,890)
Citation 40

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ABX.HE, credit default swaps, subprime crisis, limits to arbitrage

Employee Stock Option Exercise and Firm Cost

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 08 Feb 2010 Last Revised: 20 Jul 2018
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 208 (144,245)

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Estimation of Employee Stock Option Exercise Rates and Firm Cost

NYU Working Paper No. 2451/31455
Number of pages: 30 Posted: 09 Mar 2009
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 161 (182,093)

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Optimal Exercise of Executive Stock Options and Implications for Firm Cost

Number of pages: 38 Posted: 13 Dec 2007 Last Revised: 10 Jan 2008
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 218 (137,826)
Citation 8

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Employee stock option, risk aversion, option exercise

Optimal Exercise of Executive Stock Options and Implications for Firm Cost

NYU Working Paper No. FIN-07-024
Number of pages: 38 Posted: 03 Nov 2008
Richard Stanton, Nancy Wallace and Jennifer N. Carpenter
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Real Estate Group and New York University (NYU) - Department of Finance
Downloads 73 (321,174)

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Optimal Exercise of Executive Stock Options and Implications for Firm Cost

NYU Working Paper No. FIN-06-042
Number of pages: 26 Posted: 03 Nov 2008
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 44 (411,857)
Citation 27

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11.

All in One Basket: The Bankruptcy Risk of a National Agent-Based Mortgage Recording System

46 U.C. Davis L. Rev. 1 (2013)
Number of pages: 52 Posted: 15 Aug 2011 Last Revised: 19 Feb 2013
John P. Hunt, Richard Stanton and Nancy Wallace
University of California, Davis - School of Law, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 291 (102,842)

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Mortgage-backed securities, MBS, Special Purpose Vehicle, SPV, bankruptcy remoteness, MERS, Article 9

12.

Rebalancing Public and Private in the Law of Mortgage Transfer

UC Davis Legal Studies Research Paper No. 327
Number of pages: 54 Posted: 25 Jul 2012 Last Revised: 08 Jul 2013
John P. Hunt, Richard Stanton and Nancy Wallace
University of California, Davis - School of Law, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 220 (136,998)

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foreclosure, foreclosure litigation, MERS, securitization, mortgages, mortgage securitization, U.C.C., commercial law, mortgage transfer

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 104 (256,505)
Citation 27

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013
Number of pages: 52 Posted: 11 Nov 2008
Jacob Boudoukh, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University
Downloads 47 (400,633)
Citation 1

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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14.

The Term Structure in an Exchange Economy with Two Trees

Number of pages: 35 Posted: 23 Jan 2009 Last Revised: 22 Mar 2011
Christine A. Parlour, Richard Stanton and Johan Walden
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of Lausanne
Downloads 137 (207,740)
Citation 2

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Term structure, yield curve, risk-free rate puzzle, two trees, Lucas model, asset pricing

15.

Human Capital, Bankruptcy and Capital Structure

NBER Working Paper No. w13014
Number of pages: 39 Posted: 06 Apr 2007 Last Revised: 25 Jul 2010
Jonathan Berk, Richard Stanton and Josef Zechner
Stanford Graduate School of Business, University of California, Berkeley - Haas School of Business and Vienna University of Economics and Business
Downloads 131 (215,370)
Citation 111

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 115 (238,695)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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17.

Estimation of Employee Stock Option Exercise Rates and Firm Cost: Methodology

NYU Working Paper No. FIN-06-043
Number of pages: 26 Posted: 03 Nov 2008
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 93 (274,495)

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18.

A Rational Model of the Closed-End Fund Discount

NBER Working Paper No. w10412
Number of pages: 30 Posted: 20 Apr 2004
Jonathan Berk and Richard Stanton
Stanford Graduate School of Business and University of California, Berkeley - Haas School of Business
Downloads 88 (284,227)

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19.

Optimal Exercise of Executive Stock Options and Implications for Valuation

NYU Working Paper No. FIN-05-047
Number of pages: 22 Posted: 03 Nov 2008
Jennifer N. Carpenter, Richard Stanton and Nancy Wallace
New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 76 (310,506)

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20.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 64 (340,944)

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21.

An Empirical Test of a Contingent Claims Lease Valuation Model

Journal of Real Estate Research (JRER), Vol. 31, No. 1, 2008
Number of pages: 26 Posted: 24 Jan 2008 Last Revised: 16 Oct 2009
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 56 (364,135)
Citation 6

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22.

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

NBER Working Paper No. w16206
Number of pages: 51 Posted: 26 Jul 2010 Last Revised: 09 Nov 2013
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 42 (411,501)
Citation 2

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23.

The Industrial Organization of the US Residential Mortgage Market

Annual Review of Financial Economics, Vol. 6, pp. 259-288, 2014
Posted: 25 Nov 2014
Richard Stanton, Johan Walden and Nancy Wallace
University of California, Berkeley - Haas School of Business, University of Lausanne and University of California, Berkeley - Real Estate Group

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24.

Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation

Journal of Financial Econometrics, Vol. 6, Issue 1, pp. 108-142, 2008
Posted: 10 Jul 2008
Gregory R. Duffee and Richard Stanton
Johns Hopkins and University of California, Berkeley - Haas School of Business

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AR process, unit root, EMM, indirect inference

25.

Anatomy of an Arm: The Interest Rate Risk of Adjustable Rate Mortgages

Journal of Real Estate Finance and Economics
Posted: 06 Dec 1998
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group

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26.

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

Posted: 23 Aug 1998
Richard Stanton
University of California, Berkeley - Haas School of Business

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27.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University

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28.

From Cradle to Grave: How to Loot a 401(K) Plan

Posted: 30 Apr 1998
Richard Stanton
University of California, Berkeley - Haas School of Business

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29.

Rational Prepayment and the Valuation of Mortgage-Backed Securities

THE REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 3, 1995
Posted: 18 Apr 1998
Richard Stanton
University of California, Berkeley - Haas School of Business

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30.

Arm Wrestling: Valuing Adjustable Rate Mortgages Indexed to the Eleventh District Cost of Funds

JOURNAL OF THE AMERICAN REAL ESTATE AND URBAN ECONOMICS ASSOCIATION, 1995
Posted: 23 Jan 1995
Richard Stanton and Nancy Wallace
University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group

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Unobservable Heterogeneity and Rational Learning: Pool Specific vs. Generic Mortgage-Backed Security Prices

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 12 No. 3
Posted: 26 Jul 1996
Richard Stanton
University of California, Berkeley - Haas School of Business

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Unobservable Heterogeneity and Rational Learning: Pool Specific vs. Generic Mortgage-Backed Security Prices

Posted: 13 Jan 1995
Richard Stanton
University of California, Berkeley - Haas School of Business

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Other Papers (1)

Total Downloads: 70
1.

The Long-Term Discount Rate

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 19 Feb 2009 Last Revised: 14 Jul 2009
Christine A. Parlour, Richard Stanton and Johan Walden
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of Lausanne
Downloads 70

Abstract:

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Term structure, yield curve, risk-free rate puzzle, two trees, Lucas model, asset pricing