NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Francis Longstaff

Working Papers and Chapters

April 2009Valuing Toxic Assets: An Analysis of CDO Equity
with Brett Myers: w14871
January 2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
w14687
December 2007How Sovereign is Sovereign Credit Risk?
with Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton: w13658
May 2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations
with Arvind Rajan: w12210
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 Sanjay Mithal, Eric Neis: w10418
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
w10422
November 2003Two Trees: Asset Price Dynamics Induced by Market Clearing
with John H. Cochrane, Pedro Santa-Clara: w10116
October 2003Corporate Earnings and the Equity Premium
with Monika Piazzesi: w10054
August 2002Dynamic Asset Allocation With Event Risk
with Jun Liu, Jun Pan: w9103
June 2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
with Jun Liu, Ravit E. Mandell: w8990
May 2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
with Matthias Kahl, Jun Liu: w8969

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