Jefferson Duarte

Rice University - Jesse H. Jones Graduate School of Business

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

http://www.jefferson-duarte.com/

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,832

SSRN RANKINGS

Top 3,832

in Total Papers Downloads

18,444

SSRN CITATIONS
Rank 3,498

SSRN RANKINGS

Top 3,498

in Total Papers Citations

217

CROSSREF CITATIONS

306

Scholarly Papers (23)

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 - 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 3,654 (5,946)
Citation 63

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 - 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 2,118 (14,140)
Citation 14

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 - Jesse H. Jones Graduate School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 1,986 (15,583)
Citation 34

Abstract:

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volatility, options

4.
Downloads 1,377 (27,419)
Citation 111

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 1,085 (38,113)
Citation 7

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 - Jesse H. Jones Graduate School of Business and University of Washington - Department of Finance and Business Economics
Downloads 292 (194,744)
Citation 28

Abstract:

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Liquidity, Information Asymmetry

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 1,256 (31,382)
Citation 10

Abstract:

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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 1,090 (38,462)
Citation 4

Abstract:

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Sarbanes-Oxley, international listings, regulation

7.

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 863 (53,304)
Citation 21

Abstract:

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Liquidity; Information Asymmetry

8.

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

Number of pages: 51 Posted: 26 Sep 2019
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 676 (73,629)
Citation 5

Abstract:

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

9.

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 639 (79,039)
Citation 2

Abstract:

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Business cycles, financial constraints, market returns, investment growth

10.

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
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 604 (84,954)

Abstract:

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Options; look-ahead bias

11.

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 514 (103,771)
Citation 7

Abstract:

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Credit Spreads, Information Asymmetry, Corporate Governance

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 322 (175,564)
Citation 5

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 - Jesse H. Jones Graduate School of Business
Downloads 175 (318,368)
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

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:

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G12, G13, G21

13.

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 479 (113,262)
Citation 7

Abstract:

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Options; Volatility risk premium; Microstructure bias; Robustness

14.

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 444 (123,594)
Citation 10

Abstract:

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

15.

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 428 (128,969)
Citation 6

Abstract:

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Regulation FD, Cost of Capital, Information Asymmetry

16.

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 413 (134,393)

Abstract:

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P2P Lending, Marketplace lending, herding, signaling, discrimination, financial intermediation, fintech

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 352 (160,708)
Citation 2

Abstract:

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Discrimination, consumer credit, peer-to-peer lending

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 341 (166,226)
Citation 6

Abstract:

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

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 Federal Home Loan Mortgage Corporation (FHLMC)
Downloads 306 (186,457)
Citation 1

Abstract:

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Credit risk, residential mortgages, credit derivatives

20.

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 138 (387,910)
Citation 1

Abstract:

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

21.

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
Princeton University - Department of Economics and Rice University - Jesse H. Jones Graduate School of Business
Downloads 114 (448,681)
Citation 24

Abstract:

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22.

Identifying the Portfolio Balance Mechanism

Number of pages: 55 Posted: 12 Feb 2024
Jefferson Duarte and Tarik Umar
Rice University - Jesse H. Jones Graduate School of Business and Rice University
Downloads 86 (542,539)

Abstract:

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E41, E44, E51, E58, G11, G22, G23 Portfolio balance mechanism, securitization, tranching, preferred habitat, limits to arbitrage, safe assets, financial crisis, quantitative easing

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 69 (615,425)

Abstract:

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Wealth effect, housing supply