Author Page for Jefferson Duarte

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 - Jesse H. Jones Graduate School of Business, University of California, Los Angeles (UCLA) - Finance Area and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 3,806 (6,317)

Citation 63

Abstract:

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 - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics

Downloads 2,147 (15,789)

Citation 14

Abstract:

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 - Jesse H. Jones Graduate School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 2,073 (16,688)

Citation 34

Abstract:

4.

Why is PIN Priced?

Downloads 1,423 (29,835)

Citation 39

2

Why is PIN Priced?

Number of pages: 44 Posted: 21 Mar 2007

Jefferson Duarte and Lance A. Young

Rice University - Jesse H. Jones Graduate School of Business and University of Washington - Department of Finance and Business Economics

Downloads 1,112 (42,168)

Citation 7

Abstract:

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 - Jesse H. Jones Graduate School of Business and University of Washington - Department of Finance and Business Economics

Downloads 311 (208,920)

Citation 32

Abstract:

5.

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 - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.

Downloads 1,295 (34,278)

Citation 9

Abstract:

6.

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 - Jesse H. Jones Graduate School of Business, 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 1,106 (43,167)

Citation 4

Abstract:

7.

Too Good to Be True: Look-ahead Bias in Empirical Options Research

Number of pages: 64 Posted: 31 Oct 2023 Last Revised: 11 Apr 2024

Jefferson Duarte, Christopher S. Jones, Mehdi Khorram, Haitao Mo and Junbo L. Wang

Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), University of Kansas and Louisiana State University, Baton Rouge

Downloads 1,042 (46,893)

Abstract:

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 - Jesse H. Jones Graduate School of Business, University of Virginia - School of Law and University of Washington - Department of Finance and Business Economics

Downloads 930 (55,013)

Citation 30

Abstract:

9.

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

Number of pages: 51 Posted: 26 Sep 2019

Andrew L. Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun

Baylor University - Hankamer School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.

Downloads 835 (63,817)

Citation 5

Abstract:

10.

The Evolution of P2P Lending

Number of pages: 41 Posted: 21 Jun 2023 Last Revised: 25 Jul 2023

Jefferson Duarte, Stephan Siegel and Lance A. Young

Rice University - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics

Downloads 762 (72,052)

Citation 2

Abstract:

11.

Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium

Journal of Finance forthcoming

Number of pages: 65 Posted: 25 Jul 2022 Last Revised: 19 Jan 2023

Jefferson Duarte, Christopher S. Jones and Junbo L. Wang

Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge

Downloads 738 (75,130)

Citation 14

Abstract:

12.

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 - Jesse H. Jones Graduate School of Business and Tulane University - Finance & Economics

Downloads 654 (87,665)

Citation 4

Abstract:

13.

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

Downloads 571 (104,264)

Citation 9

3

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

Number of pages: 57 Posted: 22 Jul 2004

Jefferson Duarte

Rice University - Jesse H. Jones Graduate School of Business

Downloads 389 (163,264)

Citation 5

Abstract:

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 - Jesse H. Jones Graduate School of Business

Downloads 182 (356,149)

Citation 4

Abstract:

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 - Jesse H. Jones Graduate School of Business

Abstract:

14.

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 - Jesse H. Jones Graduate School of Business, Claremont McKenna College - Robert Day School of Economics and Finance and University of Washington - Department of Finance and Business Economics

Downloads 565 (105,627)

Citation 7

Abstract:

15.

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 - Jesse H. Jones Graduate School of Business, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics

Downloads 456 (137,330)

Citation 10

Abstract:

16.

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 - Jesse H. Jones Graduate School of Business, University of Washington - Department of Finance and Business Economics, University of Washington and University of Washington - Department of Finance and Business Economics

Downloads 451 (139,180)

Citation 6

Abstract:

17.

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 - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics

Downloads 366 (176,538)

Citation 2

Abstract:

18.

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 - Jesse H. Jones Graduate School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

Downloads 356 (181,988)

Citation 6

Abstract:

19.

Residential Mortgage Credit Derivatives

Number of pages: 33 Posted: 14 Oct 2008

Jefferson Duarte and Douglas A. McManus

Rice University - Jesse H. Jones Graduate School of Business and Retired

Downloads 316 (207,030)

Citation 1

Abstract:

20.

Identifying the Portfolio Balance Mechanism

Number of pages: 84 Posted: 12 Feb 2024 Last Revised: 21 Apr 2025

Jefferson Duarte and Tarik Umar

Rice University - Jesse H. Jones Graduate School of Business and Rice University

Downloads 218 (303,112)

Citation 1

Abstract:

21.

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 - Jesse H. Jones Graduate School of Business and Texas A&M University - Department of Finance

Downloads 154 (412,892)

Citation 1

Abstract:

22.

Nonparametric Option Pricing Under Shape Restrictions

NBER Working Paper No. w8944

Number of pages: 51 Posted: 17 Oct 2005 Last Revised: 11 Dec 2022

Yacine Ait-Sahalia and Jefferson Duarte

National Bureau of Economic Research (NBER) and Rice University - Jesse H. Jones Graduate School of Business

Downloads 128 (479,419)

Citation 28

Abstract:

23.

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 - Jesse H. Jones Graduate School of Business and University of Navarra, IESE Business School

Downloads 76 (682,489)

Jefferson Duarte

Rice University - Jesse H. Jones Graduate School of Business

23

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Scholarly Papers (23)

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