Jefferson Duarte

Rice University

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 2,722

SSRN RANKINGS

Top 2,722

in Total Papers Downloads

13,507

SSRN CITATIONS
Rank 3,163

SSRN RANKINGS

Top 3,163

in Total Papers Citations

41

CROSSREF CITATIONS

308

Scholarly Papers (20)

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 2,756 (4,437)
Citation 30

Abstract:

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2.

Trust and Credit

AFA 2010 Atlanta Meetings Paper
Number of pages: 60 Posted: 16 Feb 2009 Last Revised: 04 Aug 2010
Jefferson Duarte, Stephan Siegel and Lance A. Young
Rice University, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 1,880 (8,420)
Citation 13

Abstract:

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Trust, information asymmetry, consumer credit, peer-to-peer lending

3.

The Price of Market Volatility Risk

AFA 2009 San Francisco Meetings Paper
Number of pages: 59 Posted: 18 Mar 2008
Jefferson Duarte and Christopher S. Jones
Rice University and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 1,705 (9,909)
Citation 28

Abstract:

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volatility, options

4.
Downloads 1,219 ( 16,784)
Citation 86

Why is PIN Priced?

Number of pages: 44 Posted: 21 Mar 2007
Jefferson Duarte and Lance A. Young
Rice University and University of Washington - Department of Finance and Business Economics
Downloads 962 (23,453)
Citation 4

Abstract:

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Liquidity, Information Asymmetry

Why is PIN Priced?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 60 Posted: 29 Oct 2007 Last Revised: 02 Nov 2007
Jefferson Duarte and Lance A. Young
Rice University and University of Washington - Department of Finance and Business Economics
Downloads 257 (122,818)
Citation 6

Abstract:

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Liquidity, Information Asymmetry

5.

The Impact of the Sarbanes-Oxley Act on Shareholders and Managers of Foreign Firms

Review of Finance, Forthcoming
Number of pages: 38 Posted: 02 Oct 2007 Last Revised: 24 Feb 2013
Jefferson Duarte, Katie Kong, Lance A. Young and Stephan Siegel
Rice University, University of Washington - Department of Finance and Business Economics, University of Washington - Department of Finance and Business Economics and University of Washington - Michael G. Foster School of Business
Downloads 1,020 (21,869)
Citation 2

Abstract:

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Sarbanes-Oxley, international listings, regulation

6.

The Systematic Risk of Idiosyncratic Volatility

Number of pages: 45 Posted: 05 Aug 2011 Last Revised: 13 Apr 2014
Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun
Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 1,010 (22,209)
Citation 10

Abstract:

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7.

Davids, Goliaths, and Business Cycles

Number of pages: 65 Posted: 03 Oct 2012 Last Revised: 26 May 2017
Jefferson Duarte and Nishad Kapadia
Rice University and Tulane University - Finance & Economics
Downloads 580 (47,835)

Abstract:

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Business cycles, financial constraints, market returns, investment growth

8.

A Comparison of Some Structural Models of Private Information Arrival

Number of pages: 52 Posted: 14 Feb 2015 Last Revised: 04 Mar 2019
Jefferson Duarte, Edwin Hu and Lance A. Young
Rice University, U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and University of Washington - Department of Finance and Business Economics
Downloads 474 (61,628)
Citation 4

Abstract:

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Liquidity; Information Asymmetry

9.

Why Does Corporate Governance Explain Credit Spreads?

Number of pages: 33 Posted: 26 Mar 2008 Last Revised: 29 Mar 2008
Jefferson Duarte, Fan Yu and Lance A. Young
Rice University, Claremont McKenna College - Robert Day School of Economics and Finance and University of Washington - Department of Finance and Business Economics
Downloads 425 (70,402)
Citation 7

Abstract:

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Credit Spreads, Information Asymmetry, Corporate Governance

10.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market

EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 07 Dec 2005
Jefferson Duarte, Ronnie Sadka and Xiaoxia Lou
Rice University, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics
Downloads 390 (77,886)
Citation 10

Abstract:

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

11.

Information Asymmetry, Information Dissemination and the Effect of Regulation FD on the Cost of Capital

Journal of Financial Economics, Forthcoming
Number of pages: 48 Posted: 29 Mar 2007
Jefferson Duarte, Xi Han, Jarrad Harford and Lance A. Young
Rice University, University of Washington - Department of Finance and Business Economics, University of Washington and University of Washington - Department of Finance and Business Economics
Downloads 387 (78,579)
Citation 2

Abstract:

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Regulation FD, Cost of Capital, Information Asymmetry

Downloads 232 (136,306)
Citation 4

Abstract:

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Mortgage-backed securities, interest-rate volatility

The Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 29 Mar 2007
Jefferson Duarte
Rice University
Downloads 141 (213,797)

Abstract:

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Mortgage-backed securities, interest-rate volatility

The Causal Effect of Mortgage Refinancing on Interest Rate Volatility: Empirical Evidence and Theoretical Implications

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1689-1731, 2008
Posted: 08 Aug 2008
Jefferson Duarte
Rice University

Abstract:

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G12, G13, G21

13.

To Lend or Not to Lend: Revealed Attitudes towards Gender, Ethnicity, Weight, and Age in the U.S.

Number of pages: 37 Posted: 30 Jul 2014 Last Revised: 24 Oct 2015
Jefferson Duarte, Stephan Siegel and Lance A. Young
Rice University, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 292 (107,863)
Citation 1

Abstract:

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Discrimination, consumer credit, peer-to-peer lending

14.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market*

8th Annual Texas Finance Festival
Number of pages: 43 Posted: 07 Apr 2006
Jefferson Duarte, Xiaoxia Lou and Ronnie Sadka
Rice University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 284 (111,085)
Citation 4

Abstract:

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

15.
Downloads 277 (114,111)
Citation 2

Residential Mortgage Credit Derivatives

Number of pages: 33 Posted: 14 Oct 2008
Jefferson Duarte and Douglas A. McManus
Rice University and Federal Home Loan Mortgage Corporation (FHLMC)
Downloads 275 (114,407)
Citation 1

Abstract:

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Credit risk, residential mortgages, credit derivatives

Residential Mortgage Credit Derivatives

Real Estate Economics, Vol. 39, Issue 4, pp. 671-700, 2011
Number of pages: 30 Posted: 16 Nov 2011
Jefferson Duarte and Douglas A. McManus
Rice University and Federal Home Loan Mortgage Corporation (FHLMC)
Downloads 2 (693,533)
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Residential Mortgage Credit Derivatives

Real Estate Economics, 2011
Posted: 10 Sep 2010 Last Revised: 01 Oct 2010
Jefferson Duarte and Douglas A. McManus
Rice University and Federal Home Loan Mortgage Corporation (FHLMC)

Abstract:

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credit risk, hedging

16.

The Cross-Section of Volatility and Expected Returns: Then and Now

Number of pages: 51 Posted: 26 Sep 2019
University of Denver - Daniels College of Business, Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 138 (216,971)

Abstract:

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Volatility risk, idiosyncratic risk, cross-section of returns, limits to arbitrage

17.

Very Noisy Option Prices and Inferences Regarding Option Returns

Number of pages: 56 Posted: 03 Dec 2019
Jefferson Duarte, Christopher S. Jones and Junbo L. Wang
Rice University, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge
Downloads 106 (264,002)

Abstract:

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Options, Liquidity, Microstructure bias

18.

How Does Failure Spread Across Broker-Dealers and Dealer Banks?

Number of pages: 44 Posted: 18 Jul 2014
Jefferson Duarte and Adam C. Kolasinski
Rice University and Texas A&M University - Department of Finance
Downloads 103 (269,316)
Citation 1

Abstract:

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Contagion, Financial Crisis, Banking Crises, Funding Liquidity, Market Liquidity, Broker-Dealers, Subprime

19.

Nonparametric Option Pricing Under Shape Restrictions

NBER Working Paper No. w8944
Number of pages: 51 Posted: 17 Oct 2005
Yacine Ait-Sahalia and Jefferson Duarte
Princeton University - Department of Economics and Rice University
Downloads 47 (412,736)

Abstract:

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20.

Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?

Number of pages: 42 Posted: 27 Dec 2015
Narayan Bulusu, Jefferson Duarte and Carles Vergara-Alert
Bank of Canada, Rice University and University of Navarra - IESE Business School
Downloads 41 (435,645)

Abstract:

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Wealth effect, housing supply