NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Francis Longstaff

UCLA
Anderson Graduate School of Management
110 Westwood Plaza, Box 951481
Los Angeles, CA 90095-1481
Tel: 310/825-2218
Fax: 310/206-5455

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
WWW:
NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

March 2017Asset Mispricing
with Kurt F. Lewis, Lubomir Petrasek: w23231
March 2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
with Mikhail Chernov, Brett R. Dunn: w22096
November 2015The U.S. Debt Restructuring of 1933: Consequences and Lessons
with Sebastian Edwards, Alvaro Garcia Marin: w21694
October 2014Valuing Thinly-Traded Assets
w20589
August 2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
with Ilya A. Strebulaev: w20372
July 2013Deflation Risk
with Matthias Fleckenstein, Hanno Lustig: w19238
December 2012Disagreement and Asset Prices
with Bruce I. Carlin, Kyle Matoba: w18619

Published: Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba, 2014. "Disagreement and asset prices," Journal of Financial Economics, vol 114(2), pages 226-238.

June 2012Inflation Tracking Portfolios
with Christopher T. Downing, Michael A. Rierson: w18135
February 2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
with Kay Giesecke, Stephen Schaefer, Ilya Strebulaev: w17854

Published: Journal of Financial Economics Volume 111, Issue 2, February 2014, Pages 297–310 Cover image Macroeconomic effects of corporate default crisis: A long-term perspective ☆ Kay Gieseckea, Francis A. Longstaffb, c, , , Stephen Schaeferd, Ilya A. Strebulaeve, c

April 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
with Andrew Ang: 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, 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, 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 Brett Myers: w14871
January 2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
w14687

Published: FRANCIS A. LONGSTAFF, 2011. "Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?," The Journal of Finance, vol 66(3), pages 721-751.

December 2007How Sovereign is Sovereign Credit Risk?
with 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 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 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, 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 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, 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, 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: 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

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us