Francis A. Longstaff

University of California, Los Angeles (UCLA) - Finance Area

Professor

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

50

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SSRN CITATIONS
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Top 386

in Total Papers Citations

1,205

CROSSREF CITATIONS

1,173

Scholarly Papers (50)

1.
Downloads 5,771 ( 1,813)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,771 (1,887)

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non-standard errors, multi-analyst approach, liquidity

2.

Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?

Number of pages: 53 Posted: 28 Dec 2005
Jefferson Duarte, Francis A. Longstaff and Fan Yu
Rice University, University of California, Los Angeles (UCLA) - Finance Area and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 3,196 (5,300)
Citation 39

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3.

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Anderson School at UCLA Working Paper #4-00
Number of pages: 45 Posted: 09 Jun 2000
University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics
Downloads 1,613 (15,865)
Citation 25

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4.

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

Number of pages: 61 Posted: 11 Dec 2000
Jun Liu and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,293 (22,129)
Citation 48

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Arbitrage, margin requirements, optimal portfolio

5.

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

Journal of Finance, Forthcoming
Number of pages: 81 Posted: 07 Sep 2010 Last Revised: 24 Aug 2012
Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig
University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 1,286 (22,307)
Citation 44

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Fixed Income, Arbitrage, TIPS

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

Number of pages: 44 Posted: 13 Oct 2001
Francis A. Longstaff, Jun Liu and Ravit E. Mandell
University of California, Los Angeles (UCLA) - Finance Area, University of California, San Diego (UCSD) - Rady School of Management and Salomon Smith Barney, Inc., U.S.
Downloads 1,065 (28,961)
Citation 5

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

NBER Working Paper No. w8990
Number of pages: 38 Posted: 13 Jun 2002 Last Revised: 27 Jul 2022
Jun Liu, Francis A. Longstaff and Ravit E. Mandell
University of California, San Diego (UCSD) - Rady School of Management, University of California, Los Angeles (UCLA) - Finance Area and Salomon Smith Barney, Inc., U.S.
Downloads 151 (269,211)
Citation 1

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7.

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market

Number of pages: 49 Posted: 02 Jul 1999
University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics
Downloads 1,118 (27,406)
Citation 12

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8.

Asset Pricing in Markets with Illiquid Assets

AFA 2006 Boston Meetings Paper
Number of pages: 40 Posted: 24 Mar 2005
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,087 (28,539)
Citation 14

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Liquidity, Illiquid, Asset pricing, Heterogenous agents

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

Number of pages: 45 Posted: 21 Apr 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 330 (128,263)
Citation 2

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Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds

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

Netspar Discussion Paper No. 04/2011-067
Number of pages: 46 Posted: 30 Aug 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 239 (178,419)
Citation 189

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

AFA 2013 San Diego Meetings Paper
Number of pages: 49 Posted: 12 Mar 2012
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 221 (192,413)
Citation 12

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

NBER Working Paper No. w16982
Number of pages: 46 Posted: 02 May 2011 Last Revised: 28 May 2022
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 54 (515,307)
Citation 23

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10.

Counterparty Credit Risk and the Credit Default Swap Market

Journal of Financial Economics (JFE), Vol. 103, No. 2, 2012
Number of pages: 14 Posted: 06 May 2011 Last Revised: 17 Dec 2012
Navneet Arora, Priyank Gandhi and Francis A. Longstaff
American Century Investments, Rutgers University, New Brunswick and University of California, Los Angeles (UCLA) - Finance Area
Downloads 699 (52,453)
Citation 49

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Counterparty Credit Risk, CDS

11.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010 Last Revised: 22 Apr 2022
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 535 (73,751)
Citation 14

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

Number of pages: 30 Posted: 09 Feb 2012
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 414 (99,204)
Citation 1

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financial markets, macroeconomy, corporate defaults, bank lending, collateral, business cycles

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

NBER Working Paper No. w17854
Number of pages: 31 Posted: 20 Feb 2012 Last Revised: 15 Apr 2022
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 63 (478,275)
Citation 3

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13.
Downloads 475 ( 85,203)
Citation 9

Deflation Risk

Number of pages: 62 Posted: 13 Jul 2013
Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig
University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 444 (91,504)

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deflation, tail risk

Deflation Risk

NBER Working Paper No. w19238
Number of pages: 63 Posted: 19 Jul 2013 Last Revised: 27 Jul 2022
Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig
University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 31 (639,178)
Citation 2

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14.

Asset Pricing and the Credit Market

Number of pages: 37 Posted: 07 May 2008
Francis A. Longstaff and Jiang Wang
University of California, Los Angeles (UCLA) - Finance Area and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 439 (93,467)
Citation 44

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Asset pricing, Credit market, Leverage

Two Trees: Asset Price Dynamics Induced by Market Clearing

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 1318
Number of pages: 46 Posted: 23 Jun 2004
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics
Downloads 272 (156,878)

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Two Trees: Asset Price Dynamics Induced by Market Clearing

NBER Working Paper No. w10116
Number of pages: 46 Posted: 27 Nov 2003 Last Revised: 21 Feb 2022
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics
Downloads 51 (528,999)
Citation 8

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16.

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

NBER Working Paper No. w10418
Number of pages: 51 Posted: 21 Apr 2004 Last Revised: 20 Jun 2022
Francis A. Longstaff, Sanjay Mithal and Eric Neis
University of California, Los Angeles (UCLA) - Finance Area, Deutsche Bank and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 313 (136,267)
Citation 81

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17.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 28 Apr 2022
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 282 (151,901)
Citation 4

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18.

An Empirical Analysis of the Pricing of Collateralized Debt Obligations

NBER Working Paper No. w12210
Number of pages: 48 Posted: 25 May 2006 Last Revised: 30 May 2022
Francis A. Longstaff and Arvind Rajan
University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN
Downloads 135 (293,184)
Citation 5

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19.

Valuing Toxic Assets: An Analysis of Cdo Equity

NBER Working Paper No. w14871
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 19 Feb 2022
Francis A. Longstaff and Brett W. Myers
University of California, Los Angeles (UCLA) - Finance Area and Texas Tech, Rawls College of Business
Downloads 129 (303,452)

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20.

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

NBER Working Paper No. w8969
Number of pages: 34 Posted: 30 May 2002 Last Revised: 06 Jul 2022
Matthias Kahl, Jun Liu and Francis A. Longstaff
University of California, Los Angeles (UCLA) - Anderson School of Management, University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 126 (308,758)
Citation 2

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Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002 Last Revised: 18 May 2022
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 106 (350,994)
Citation 13

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Dynamic Asset Allocation with Event Risk

Journal of Finance, Vol. 58, pp. 231-259, 2003
Posted: 04 Nov 2003
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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22.

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

NBER Working Paper No. w16358
Number of pages: 50 Posted: 13 Sep 2010 Last Revised: 14 Mar 2021
Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig
University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 105 (350,885)
Citation 22

Abstract:

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23.

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

NBER Working Paper No. w9312
Number of pages: 25 Posted: 07 Nov 2002 Last Revised: 04 Apr 2022
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 95 (374,191)
Citation 36

Abstract:

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24.

Financial Claustrophobia: Asset Pricing in Illiquid Markets

NBER Working Paper No. w10411
Number of pages: 31 Posted: 20 Apr 2004 Last Revised: 13 Jun 2022
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 93 (379,297)

Abstract:

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25.

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

NBER Working Paper No. w20372
Number of pages: 38 Posted: 18 Aug 2014 Last Revised: 02 Mar 2022
Francis A. Longstaff and Ilya A. Strebulaev
University of California, Los Angeles (UCLA) - Finance Area and Stanford University - Graduate School of Business
Downloads 91 (384,480)

Abstract:

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26.

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

NBER Working Paper No. w10422
Number of pages: 55 Posted: 23 Apr 2004 Last Revised: 25 Jun 2022
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 86 (397,999)

Abstract:

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27.
Downloads 85 (400,746)
Citation 1

Asset Mispricing

NBER Working Paper No. w23231
Number of pages: 51 Posted: 19 Mar 2017 Last Revised: 24 Jun 2022
Kurt F. Lewis, Francis A. Longstaff and Lubomir Petrasek
Board of Governors of the Federal Reserve System, University of California, Los Angeles (UCLA) - Finance Area and Board of Governors of the Federal Reserve System
Downloads 74 (438,908)
Citation 1

Abstract:

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Asset Mispricing

Number of pages: 60 Posted: 02 Jun 2017
Kurt F. Lewis, Francis A. Longstaff and Lubomir Petrasek
Board of Governors of the Federal Reserve System, University of California, Los Angeles (UCLA) - Finance Area and Board of Governors of the Federal Reserve System
Downloads 11 (808,875)

Abstract:

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Asset Pricing, Corporate Bonds

28.

Inflation Tracking Portfolios

NBER Working Paper No. w18135
Number of pages: 23 Posted: 08 Jun 2012 Last Revised: 22 Jul 2022
Chris Downing, Francis A. Longstaff and Mike Rierson
BlackRock, University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN
Downloads 77 (424,425)

Abstract:

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29.

Valuing Thinly-Traded Assets

NBER Working Paper No. w20589
Number of pages: 26 Posted: 22 Oct 2014 Last Revised: 04 Apr 2022
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 76 (427,552)
Citation 1

Abstract:

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30.

Disagreement and Asset Prices

NBER Working Paper No. w18619
Number of pages: 44 Posted: 15 Dec 2012 Last Revised: 18 May 2022
Bruce I. Carlin, Francis A. Longstaff and Kyle Matoba
University of California, Los Angeles (UCLA) - Anderson School of Management, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 68 (453,800)
Citation 19

Abstract:

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31.

Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints

NBER Working Paper No. w24224
Number of pages: 66 Posted: 22 Jan 2018 Last Revised: 11 Mar 2022
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 65 (464,269)
Citation 2

Abstract:

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32.

Corporate Earnings and the Equity Premium

NBER Working Paper No. w10054
Number of pages: 30 Posted: 28 Oct 2003 Last Revised: 23 Jun 2022
Francis A. Longstaff and Monika Piazzesi
University of California, Los Angeles (UCLA) - Finance Area and Stanford University
Downloads 65 (464,269)
Citation 12

Abstract:

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33.

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

NBER Working Paper No. w14687
Number of pages: 35 Posted: 31 Jan 2009 Last Revised: 18 Feb 2022
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 55 (502,794)
Citation 7

Abstract:

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

NBER Working Paper No. w22096
Number of pages: 60 Posted: 21 Mar 2016 Last Revised: 18 May 2022
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 39 (590,136)
Citation 11

Abstract:

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

CEPR Discussion Paper No. DP10947
Posted: 18 Apr 2016
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Affine models, mortgage-backed securities, prepayment function

35.

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

NBER Working Paper No. w21694
Number of pages: 42 Posted: 09 Nov 2015 Last Revised: 11 Apr 2022
Sebastian Edwards, Francis A. Longstaff and Alvaro Garcia Marin
University of California, Los Angeles (UCLA) - Global Economics and Management (GEM) Area, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 33 (611,064)

Abstract:

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36.

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

NBER Working Paper No. w25216
Number of pages: 51 Posted: 05 Nov 2018 Last Revised: 27 May 2022
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 15 (742,922)

Abstract:

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37.

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

NBER Working Paper No. w28134
Number of pages: 79 Posted: 23 Nov 2020 Last Revised: 16 May 2022
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 11 (779,730)

Abstract:

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38.

Treasury Richness

NBER Working Paper No. w29081
Number of pages: 83 Posted: 26 Jul 2021 Last Revised: 18 Jun 2022
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 9 (799,046)
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Abstract:

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39.

The Market Risk Premium for Unsecured Consumer Credit Risk

NBER Working Paper No. w28029
Number of pages: 77 Posted: 02 Nov 2020 Last Revised: 03 Aug 2022
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 4 (851,100)

Abstract:

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40.

Systemic Credit Risk: What is the Market Telling Us?

Financial Analysts Journal, Vol. 64, No. 4, 2008
Posted: 23 Sep 2008
Vineer Bhansali, Robert Gingrich and Francis A. Longstaff
LongTail Alpha, LLC, affiliation not provided to SSRN and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Derivative Instruments, Debt Derivatives, Debt Investments, Risk Measures, Credit Analysis

41.

Two Trees

The Review of Financial Studies, Vol. 21, Issue 1, pp. 347-385, 2008
Posted: 26 Jun 2008
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics

Abstract:

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42.

The Term Structure of Very Short-Term Rates: New Evidence for the Expectations Hypothesis

Posted: 29 Aug 2001
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Expectations hypothesis, Interest rates

43.

Optimal Portfolio Choice and the Valuation of Illiquid Securities

Posted: 23 May 2001
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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44.

Electronic Screen Trading and the Transmission of Information: An Empirical Examination

Posted: 26 Oct 1999
University of St. Gallen - Swiss Institute of Banking and Finance, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Valuing Futures and Options on Volatility

Working Paper No. 3-94
Posted: 01 Oct 1999
Andreas Grünbichler and Francis A. Longstaff
University of St. Gallen - Swiss Institute of Banking and Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Valuing Futures and Options on Volatility

Posted: 19 Sep 2001
Andreas Grünbichler and Francis A. Longstaff
University of St. Gallen - Swiss Institute of Banking and Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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46.

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt and Determining Swap Spreads

Posted: 30 Dec 1998
Francis A. Longstaff, Eduardo S. Schwartz and Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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47.

Valuing American Options by Simulation: A Simple Least-Squares Approach

Posted: 26 Oct 1998
Francis A. Longstaff, Eduardo S. Schwartz and Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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48.

Option Pricing and the Martingale Restriction

REVIEW OF FINANCIAL STUDIES, Vol 8 No 4
Posted: 24 Aug 1998
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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49.

Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury Strips Program

Working Paper 1-96
Posted: 01 Jul 1998
Mark Grinblatt and Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Throwing Good Money after Bad? Cash Infusions and Distressed Real Estate

REAL ESTATE ECONOMICS, Vol. 24 No. 1
Posted: 19 Apr 1996
Anderson Graduate School of Management, UCLA, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Throwing Good Money after Bad? Cash Infusions and Distressed Real Estate

UCLA Working Paper No 4-94
Posted: 18 Jul 1994
Anderson Graduate School of Management, UCLA, University of California, Los Angeles (UCLA) - Finance Area and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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