Robert S. Goldstein

University of Minnesota - Twin Cities - Carlson School of Management

Associate Professor

19th Avenue South

Minneapolis, MN 55455

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

36

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Top 1,372

in Total Papers Downloads

21,208

SSRN CITATIONS
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Top 1,774

in Total Papers Citations

352

CROSSREF CITATIONS

236

Scholarly Papers (36)

1.
Downloads 4,407 ( 1,925)
Citation 35

An Ebit-Based Model of Dynamic Capital Structure

Dice Center For Research In Financial Economics Working Paper No. 98-13
Number of pages: 40 Posted: 24 Oct 1998
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business
Downloads 4,407 (1,890)
Citation 35

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An Ebit-Based Model of Dynamic Capital Structure

Journal of Business, Vol. 74, No. 4, October 2001
Posted: 29 Dec 2001
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

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2.

The Determinants of Credit Spread Changes

Number of pages: 33 Posted: 24 Mar 2000
Pierre Collin-Dufresne, J. Spencer Martin and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Melbourne - Faculty of Business and Economics and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 2,793 (4,258)
Citation 101

Abstract:

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3.

Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced-Form Frameworks

AFA 2001 New Orleans; Dice Working Paper 99-10
Number of pages: 35 Posted: 16 Nov 1999
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,306 (14,865)
Citation 27

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On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

AFA 2006 Boston Meetings Paper
Number of pages: 59 Posted: 16 Mar 2005 Last Revised: 01 Jul 2011
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Luohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,289 (14,851)
Citation 41

Abstract:

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Equity premium, credit spread, habit formation model

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Review of Financial Studies, Forthcoming
Posted: 12 Nov 2007
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Luohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

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On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3367-3409, 2009
Posted: 08 Sep 2009
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Michigan State University, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

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G12, G13

5.

Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 38 Posted: 09 Oct 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,006 (22,021)
Citation 17

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6.

Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated

FRB of Chicago Working Paper No. 2007-11
Number of pages: 52 Posted: 16 Jan 2006
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 989 (22,565)
Citation 75

Abstract:

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Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle

7.

Generalizing the Affine Framework to HJM and Random Field Models

Number of pages: 51 Posted: 23 Jun 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 771 (32,154)
Citation 24

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Fixed Income Derivatives, Term Structure of Interest rates, Stochastic Volatility, Stochastic Correlation, Affine Models

8.

Pricing Swaptions within the Affine Framework

Washington University Department of Finance WP
Number of pages: 24 Posted: 09 May 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 696 (36,964)
Citation 11

Abstract:

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Swaption Pricing

9.

The Term Structure of Interest Rates as a Random Field

The Charles A. Dice Center for Research in Financial Economics Working Papers Series, 97-5
Number of pages: 30 Posted: 21 Aug 1997
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management
Downloads 603
Citation 9

Abstract:

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10.

Can Standard Preferences Explain the Prices of Out-of-The-Money S&P 500 Put Options?

Number of pages: 43 Posted: 11 Aug 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 598 (45,273)

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Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk

11.

'True' Stochastic Volatility and a Generalized Class of Affine Models

Number of pages: 28 Posted: 13 Jun 2000
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 545 (50,947)
Citation 3

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Dividend Dynamics and the Term Structure of Dividend Strips

AFA 2013 San Diego Meetings Paper
Number of pages: 62 Posted: 19 Mar 2012 Last Revised: 08 Mar 2014
Frederico Belo, Pierre Collin-Dufresne and Robert S. Goldstein
University of Minnesota, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 424 (68,952)
Citation 17

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Dividend Strips, Term Structure or Risk Premia

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Netspar Discussion Paper No. 03/2012-040
Number of pages: 46 Posted: 26 Nov 2012
Robert S. Goldstein, Frederico Belo and Pierre Collin-Dufresne
University of Minnesota - Twin Cities - Carlson School of Management, University of Minnesota and Ecole Polytechnique Fédérale de Lausanne
Downloads 84 (305,914)

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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

NBER Working Paper No. w18450
Number of pages: 59 Posted: 13 Oct 2012
Frederico Belo, Pierre Collin-Dufresne and Robert S. Goldstein
University of Minnesota, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 10 (621,341)

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Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

AFA 2002 Atlanta Meetings
Number of pages: 42 Posted: 13 Jul 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 481 (59,084)
Citation 30

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Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Journal of Finance, Vol. 57, pp. 1685-1730, 2002
Posted: 30 Dec 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

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14.

A General Formula for Valuing Defaultable Securities

Carnegie Mellon Department of Finance Working Paper
Number of pages: 26 Posted: 17 Feb 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 470 (61,435)
Citation 12

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reduced-form models of default, Cox Processes

15.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 469 (61,614)
Citation 13

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Term Structure of Interest rates, Affine Models

16.

Recovering Drifts and Preference Parameters from Financial Derivatives

Number of pages: 48 Posted: 05 Apr 2013 Last Revised: 08 Apr 2013
Sergey Dubynskiy and Robert S. Goldstein
University of Minnesota - Twin Cities - Department of Business Finance and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 462 (62,768)
Citation 26

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asset pricing, derivatives

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Number of pages: 51 Posted: 23 Jan 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 375 (79,672)

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Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

NBER Working Paper No. w11247
Number of pages: 51 Posted: 18 May 2005 Last Revised: 26 Sep 2010
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 51 (400,659)

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18.

Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework

Number of pages: 47 Posted: 05 Feb 2007 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 424 (69,592)
Citation 12

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Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options

19.

On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries

Number of pages: 38 Posted: 21 Aug 1997
Robert S. Goldstein and William P. Keirstead
University of Minnesota - Twin Cities - Carlson School of Management and Goldman Sachs Group, Inc. - Japan Office
Downloads 411 (72,371)
Citation 15

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Modeling Credit Contagion via the Updating of Fragile Beliefs

Number of pages: 65 Posted: 05 Mar 2012 Last Revised: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 294 (105,045)
Citation 9

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Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

Modeling Credit Contagion Via the Updating of Fragile Beliefs

Netspar Discussion Paper No. 12/2011-123 - revised version February 2014
Number of pages: 54 Posted: 24 Nov 2012 Last Revised: 13 Jan 2016
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 84 (305,914)
Citation 16

Abstract:

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21.

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Number of pages: 49 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 357 (85,122)
Citation 35

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Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk

On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches

Number of pages: 38 Posted: 27 Jan 2010
Pierre Collin-Dufresne, Robert S. Goldstein and Fan Yang
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 290 (106,597)
Citation 1

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CDX tranche spreads

On the Relative Pricing of Long Maturity S&P 500 Index Options and Cdx Tranches

NBER Working Paper No. w15734
Number of pages: 38 Posted: 10 Feb 2010 Last Revised: 30 Jun 2010
Pierre Collin-Dufresne, Robert S. Goldstein and Fan Yang
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 39 (448,077)

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23.

On Bounding Credit-Event Risk Premia

AFA
Number of pages: 48 Posted: 13 Nov 2012 Last Revised: 23 Jul 2018
Jennie Bai, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Georgetown University - Department of Finance, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 300 (103,268)
Citation 6

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credit risk model, contagion

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

Number of pages: 48 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 171 (179,140)
Citation 1

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contagion risk, fragile beliefs

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

NBER Working Paper No. w15733
Number of pages: 48 Posted: 10 Feb 2010 Last Revised: 29 Jun 2010
Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 96 (280,753)

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25.

Identification of Maximal Affine Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Pierre Collin-Dufresne, Christopher S. Jones and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 265 (117,925)
Citation 2

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Term Structure of Interest rates

26.

The Leverage Effect and the Basket-Index Put Spread

Journal of Financial Economics (JFE), 2018
Number of pages: 63 Posted: 28 May 2017 Last Revised: 19 Jul 2018
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 227 (137,845)

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basket-index put spread, bank, leverage effect, financial crisis, bailout, option pricing

27.

Is the Credit Spread Puzzle a Myth?

Georgetown McDonough School of Business Research Paper, University of Connecticut School of Business Research Paper No. 18-28
Number of pages: 67 Posted: 22 Oct 2018 Last Revised: 07 Dec 2018
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 156 (193,679)
Citation 4

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credit spread puzzle, structural models, tail risk

28.

Optimal Debt Dynamics, Issuance Costs, and Commitment

Number of pages: 64 Posted: 25 Sep 2019 Last Revised: 06 Oct 2019
Luca Benzoni, Lorenzo Garlappi, Robert S. Goldstein and Chao Ying
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business, University of Minnesota - Twin Cities - Carlson School of Management and University of Minnesota - Twin Cities, Carlson School of Management
Downloads 59 (368,184)
Citation 2

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Capital Structure, Bankruptcy, Issuance Costs, Commitment, Coase Conjecture, Credit Spreads

29.

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

NBER Working Paper No. w10756
Number of pages: 76 Posted: 01 Jun 2006
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 54 (384,103)

Abstract:

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30.

Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options

NBER Working Paper No. w11861
Number of pages: 43 Posted: 19 Jan 2006 Last Revised: 13 Jun 2009
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 53 (387,303)

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31.

Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix

Number of pages: 33 Posted: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 46 (411,489)
Citation 1

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Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

Estimating the Tax and Credit-Event Risk Components of Credit Spreads

FRB of Chicago Working Paper No. WP-2017-17
Number of pages: 58 Posted: 08 Nov 2017
Luca Benzoni and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 21 (546,018)

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Credit risk, investment grade (IG), tax liability, liquidity risk

Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads

Number of pages: 82 Posted: 25 Sep 2019
Luca Benzoni, Lorenzo Garlappi and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 30 (491,187)

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Credit spreads, Capital structure, Corporate Default, Jumps to Default

Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads

FRB of Chicago Working Paper No. WP-2019-8
Number of pages: 83 Posted: 27 Nov 2019
Luca Benzoni, Lorenzo Garlappi and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 2 (684,553)

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Credit spreads, Capital structure, Corporate Default, Debt, Jumps to Default, Investments

34.

The Term Structure of Interest Rates as a Random Field

The Charles A. Dice Center for Research in Financial Economics Working Paper No. 97-5
Posted: 21 May 2000
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management

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35.

Endogenous Bankruptcy, Endogenous Restructuring, and Dynamic Capital Structure

Dice Center Working Paper 97-15
Posted: 18 Mar 1998
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

Abstract:

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36.

Identifying the Class of Term Structure Models Possessing Closed-Form Solutions for Bond and Bond-Option Prices: An Expectation Approach

Posted: 04 Sep 1997
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management

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