NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Francis Longstaff

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

October 2014Valuing Thinly-Traded Assets
w20589
August 2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
with Francis A. Longstaff, Ilya A. Strebulaev: w20372
July 2013Deflation Risk
with Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig: w19238
December 2012Disagreement and Asset Prices
with Bruce I. Carlin, Francis A. Longstaff, Kyle Matoba: w18619
June 2012Inflation Tracking Portfolios
with Christopher T. Downing, Francis A. Longstaff, Michael A. Rierson: w18135
February 2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
with Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, Ilya Strebulaev: w17854

Macroeconomic Effects of Corporate Bond Default Crises: A 150-Year Perspective (with K. Giesecke, I. Strebulaev, and S. Schaefer), Journal of Financial Economics, forthcoming.

April 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
with Andrew Ang, Francis A. Longstaff: w16982

Published: Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510. citation courtesy of

September 2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
with Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig: w16358

Published: The TIPS—Treasury Bond Puzzle* The Journal of Finance Accepted manuscript online: 30 JAN 2013, Matthias Fleckenstein, Francis A. Longstaff and Hanno Lustig DOI: 10.1111/jofi.12032

March 2010Corporate Bond Default Risk: A 150-Year Perspective
with Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, Ilya Strebulaev: w15848

Published: Corporate Bond Default Risk: A 150-Year Perspective (with K. Giesecke, I. Strebulaev, and S. Schaefer), Journal of Financial Economics 102, 233-250, 2011.

April 2009Valuing Toxic Assets: An Analysis of CDO Equity
with Francis A. Longstaff, Brett Myers: w14871
January 2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
w14687

Published: Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices? Abstract Full Text PDF Full Text HTML Author(s): FRANCIS A. LONGSTAFF Published: May 23, 2011 Pages: 721-751 DOI: 10.1111/j.1540-6261.2011.01650.x

December 2007How Sovereign is Sovereign Credit Risk?
with Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton: w13658

Published: Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April. citation courtesy of

May 2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations
with Francis A. Longstaff, Arvind Rajan: w12210

Published: Longstaff, Francis A. and Arvind Rajan. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations." Journal of Finance 63, 2 (April 2008): 529-63. citation courtesy of

April 2004Financial Claustrophobia: Asset Pricing in Illiquid Markets
w10411
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
with Francis A. Longstaff, Sanjay Mithal, Eric Neis: w10418

Published: Longstaff, Francis A., Sanjay Mithal and Eric Neis. "Corporate Yield Spreads: Default Risk Or Liquidity? New Evidence From The Credit Default Swap Market," Journal of Finance, 2005, v60(5,Oct), 2213-2253. citation courtesy of

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
w10422

Published: Longstaff, Francis A. "Borrower Credit And The Valuation Of Mortgage-Backed Securities," Real Estate Economics, 2005, v33(4,Winter), 619-661.

November 2003Two Trees: Asset Price Dynamics Induced by Market Clearing
with John H. Cochrane, Francis A. Longstaff, Pedro Santa-Clara: w10116

Published: Cochrane, John, Francis A Longstaff, and Pedro Santa-Clara. "Two Trees." Review of Financial Studies 21 (2008): 247-385.

October 2003Corporate Earnings and the Equity Premium
with Francis Longstaff, Monika Piazzesi: w10054

Published: Longstaff, Francis A. and Monika Piazzesi. "Corporate Earnings And The Equity Premium," Journal of Financial Economics, 2004, v74(3,Dec), 401-421. citation courtesy of

August 2002Dynamic Asset Allocation With Event Risk
with Jun Liu, Francis A. Longstaff, Jun Pan: w9103

Published: Liu, Jun, Francis A. Longstaff and Jun Pan. "Dynamic Asset Allocations with Event Risk." The Journal of Finance 58, 1 (February 2003): 231-259. citation courtesy of

June 2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
with Jun Liu, Francis A. Longstaff, Ravit E. Mandell: w8990

Published: Liu, Jun, Francis A. Longstaff, and Ravit Mandell. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks." The Journal of Business 79, 5 (September 2006): 2337-2360.

May 2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
with Matthias Kahl, Jun Liu, Francis A. Longstaff: w8969

Published: Kahl, Matthias, Jun Liu, and Francis A. Longstaff. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?" The Journal of Financial Economics 67 (2003): 385-410. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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