Francis A. Longstaff

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

Professor

Los Angeles, CA 90095-1481

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

46

DOWNLOADS
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Top 2,209

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14,275

CITATIONS
Rank 431

SSRN RANKINGS

Top 431

in Total Papers Citations

1,079

Scholarly Papers (46)

1.

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 2,583 (4,326)
Citation 44

Abstract:

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2.

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
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU) and New University of Lisbon - Nova School of Business and Economics
Downloads 1,575 (9,926)
Citation 43

Abstract:

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3.

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

AFA 2001 New Orleans; EFMA 2000 Athens; UCLA Finance Working Paper No. 9-00
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 1,203 (15,224)
Citation 79

Abstract:

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Arbitrage, margin requirements, optimal portfolio

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

AFA 2002 Atlanta Meetings
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 1,032 (18,801)
Citation 33

Abstract:

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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 Oct 2010
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 127 (211,383)
Citation 35

Abstract:

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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 1,155 (16,238)
Citation 20

Abstract:

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Fixed Income, Arbitrage, TIPS

6.

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 1,036 (19,054)
Citation 30

Abstract:

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Liquidity, Illiquid, Asset pricing, Heterogenous agents

7.

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

Number of pages: 49 Posted: 02 Jul 1999
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU) and New University of Lisbon - Nova School of Business and Economics
Downloads 961 (21,370)
Citation 24

Abstract:

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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 292 (97,155)
Citation 19

Abstract:

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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 217 (132,013)
Citation 19

Abstract:

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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 188 (151,347)
Citation 19

Abstract:

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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
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 33 (438,787)
Citation 19

Abstract:

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9.

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, Mendoza College of Business, University of Notre Dame and University of California, Los Angeles (UCLA) - Finance Area
Downloads 583 (42,761)
Citation 27

Abstract:

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Counterparty Credit Risk, CDS

10.
Downloads 436 ( 61,475)

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 424 (62,979)

Abstract:

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deflation, tail risk

Deflation Risk

NBER Working Paper No. w19238
Number of pages: 63 Posted: 19 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 12 (559,394)

Abstract:

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11.

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 411 (66,029)
Citation 10

Abstract:

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Asset pricing, Credit market, Leverage

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

Number of pages: 30 Posted: 09 Feb 2012
Stanford University - 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 347 (79,809)
Citation 2

Abstract:

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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
Stanford University - 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 27 (468,508)
Citation 2

Abstract:

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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 New University of Lisbon - Nova School of Business and Economics
Downloads 257 (111,186)
Citation 9

Abstract:

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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: 24 Aug 2010
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 36 (425,851)
Citation 9

Abstract:

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14.

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
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 264 (108,613)
Citation 284

Abstract:

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15.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010 Last Revised: 26 Apr 2010
Stanford University - 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 245 (117,367)
Citation 24

Abstract:

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16.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 07 Feb 2008
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 209 (137,126)
Citation 73

Abstract:

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17.

Valuing Toxic Assets: An Analysis of Cdo Equity

NBER Working Paper No. w14871
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 21 Aug 2010
Francis A. Longstaff and Brett W. Myers
University of California, Los Angeles (UCLA) - Finance Area and Texas Tech, Rawls College of Business
Downloads 120 (219,923)
Citation 2

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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: 14 Jul 2009
Francis A. Longstaff and Arvind Rajan
University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN
Downloads 106 (240,411)
Citation 48

Abstract:

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19.

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: 27 Oct 2010
Matthias Kahl, Jun Liu and Francis A. Longstaff
University of Colorado at Boulder - Leeds School of Business, University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 105 (241,978)
Citation 56

Abstract:

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20.

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

NBER Working Paper No. w16358
Number of pages: 50 Posted: 13 Sep 2010
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 92 (264,376)
Citation 20

Abstract:

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21.

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

NBER Working Paper No. w9312
Number of pages: 25 Posted: 07 Nov 2002
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 82 (283,831)
Citation 95

Abstract:

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22.

Financial Claustrophobia: Asset Pricing in Illiquid Markets

NBER Working Paper No. w10411
Number of pages: 31 Posted: 20 Apr 2004
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 79 (290,239)
Citation 15

Abstract:

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Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 75 (302,353)
Citation 80

Abstract:

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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, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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24.

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

NBER Working Paper No. w10422
Number of pages: 55 Posted: 23 Apr 2004
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 71 (308,601)
Citation 7

Abstract:

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25.

Inflation Tracking Portfolios

NBER Working Paper No. w18135
Number of pages: 23 Posted: 08 Jun 2012
Chris Downing, Francis A. Longstaff and Mike Rierson
BlackRock, University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN
Downloads 58 (342,397)

Abstract:

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26.

Corporate Earnings and the Equity Premium

NBER Working Paper No. w10054
Number of pages: 30 Posted: 28 Oct 2003
Francis A. Longstaff and Monika Piazzesi
University of California, Los Angeles (UCLA) - Finance Area and University of Chicago - Booth School of Business
Downloads 55 (351,338)
Citation 27

Abstract:

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27.

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: 19 Aug 2014
Francis A. Longstaff and Ilya A. Strebulaev
University of California, Los Angeles (UCLA) - Finance Area and Stanford University - Graduate School of Business
Downloads 44 (386,666)

Abstract:

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28.

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: 20 Aug 2010
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 38 (408,421)
Citation 4

Abstract:

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29.

Valuing Thinly-Traded Assets

NBER Working Paper No. w20589
Number of pages: 26 Posted: 22 Oct 2014
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area
Downloads 37 (412,452)

Abstract:

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30.

Asset Mispricing

NBER Working Paper No. w23231
Number of pages: 51 Posted: 19 Mar 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 Federal Reserve Board
Downloads 30 (441,493)
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Abstract:

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31.

Disagreement and Asset Prices

NBER Working Paper No. w18619
Number of pages: 44 Posted: 15 Dec 2012
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 28 (450,906)
Citation 2

Abstract:

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32.

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

NBER Working Paper No. w21694
Number of pages: 42 Posted: 09 Nov 2015
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 15 (520,632)

Abstract:

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33.

Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints

NBER Working Paper No. w24224
Number of pages: 66 Posted: 22 Jan 2018
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 9 (553,970)
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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
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 8 (583,844)

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.

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

NBER Working Paper No. w25216
Number of pages: 51 Posted: 05 Nov 2018
Matthias Fleckenstein and Francis A. Longstaff
University of Delaware and University of California, Los Angeles (UCLA) - Finance Area
Downloads 6 (570,300)
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Abstract:

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36.

Systemic Credit Risk: What is the Market Telling Us?

Financial Analysts Journal, Vol. 64, No. 4, 2008
Posted: 23 Sep 2008
Vineer Bhansali, Robert Michael 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

37.

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 New University of Lisbon - Nova School of Business and Economics

Abstract:

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38.

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

Journal of Financial Economics, Vol. 58, No. 3, December 2000
Posted: 29 Aug 2001
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Expectations hypothesis, Interest rates

39.

Optimal Portfolio Choice and the Valuation of Illiquid Securities

Review of Financial Studies, Vol. 14, No. 2
Posted: 23 May 2001
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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40.

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

JOURNAL OF FINANCIAL INTERMEDIATION Vol 3 No 2, 1994
Posted: 26 Oct 1999
Andreas Grünbichler, Eduardo S. Schwartz and Francis A. Longstaff
University of St. Gallen - Swiss Institute of Banking and Finance, Simon Fraser University (SFU) 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

Journal of Banking & Finance, 1996, 985-1001; The Journal of Finance, 1995, 974-975
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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42.

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

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

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43.

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

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

Abstract:

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44.

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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45.

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

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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
Bradford Cornell, Eduardo S. Schwartz and Francis A. Longstaff
California Institute of Technology, Simon Fraser University (SFU) and University of California, Los Angeles (UCLA) - Finance Area

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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
Bradford Cornell, Francis A. Longstaff and Eduardo S. Schwartz
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Simon Fraser University (SFU)

Abstract:

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