Jefferson Duarte

Rice University

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 2,393

in Total Papers Downloads

11,435

CITATIONS
Rank 3,132

SSRN RANKINGS

Top 3,132

in Total Papers Citations

175

Scholarly Papers (18)

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 2,221 (3,973)
Citation 42

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, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 1,489 (7,310)
Citation 10

Abstract:

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 1,462 (8,071)
Citation 11

Abstract:

volatility, options

4.
Downloads 1,115 ( 13,728)
Citation 49

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 877 (19,405)
Citation 49

Abstract:

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 238 (100,619)
Citation 49

Abstract:

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 933 (16,941)
Citation 4

Abstract:

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 680 (22,190)
Citation 1

Abstract:

7.

Davids, Goliaths, and Business Cycles

Number of pages: 97 Posted: 03 Oct 2012 Last Revised: 10 Jun 2016
Jefferson Duarte and Nishad Kapadia
Rice University and Tulane University - A.B. Freeman School of Business
Downloads 368 (51,087)

Abstract:

Business cycles, financial constraints, market returns, investment growth

8.

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 365 (58,838)
Citation 4

Abstract:

Credit Spreads, Information Asymmetry, Corporate Governance

9.

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 359 (62,893)
Citation 18

Abstract:

Regulation FD, Cost of Capital, Information Asymmetry

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 353 (60,917)
Citation 1

Abstract:

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

Downloads 211 (113,673)
Citation 6

Abstract:

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 131 (174,060)
Citation 7

Abstract:

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:

G12, G13, G21

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 270 (88,042)

Abstract:

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 (540,023)

Abstract:

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:

credit risk, hedging

13.

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 231 (98,526)
Citation 1

Abstract:

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

14.

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 152 (106,551)

Abstract:

Discrimination, consumer credit, peer-to-peer lending

15.

What Does the PIN Model Identify as Private Information?

Number of pages: 64 Posted: 14 Feb 2015 Last Revised: 15 Sep 2015
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 107 (106,551)

Abstract:

Liquidity; Information Asymmetry

16.

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, Mays School of Business
Downloads 54 (252,123)

Abstract:

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

17.

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 30 (359,419)
Citation 26

Abstract:

18.

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 IESE Business School
Downloads 0 (410,164)

Abstract:

Wealth effect, housing supply