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Economics and Finance

D-Index
62
Citations
31977
World Ranking
725
National Ranking
454

Overview

Francis A. Longstaff is affiliated with the University of California, Los Angeles in the United States. Their research primarily intersects the fields of Economics, Econometrics, and Finance, with a focus on finance as the predominant subfield. Other areas of investigation include economics and econometrics, accounting, strategy and management, as well as a singular contribution related to astronomy and astrophysics.

Their work covers several key topics, including:

  • Credit Risk and Financial Regulations
  • Banking stability, regulation, efficiency
  • Financial Markets and Investment Strategies
  • Insurance and Financial Risk Management
  • European Monetary and Fiscal Policies
  • Corporate Finance and Governance
  • Housing Market and Economics

Among the recent papers authored or coauthored by Longstaff are the following:

  • "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives," 2020, Review of Financial Studies
  • "The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?", 2020, Journal of Financial Economics
  • "Asset mispricing," 2021, Journal of Financial Economics
  • "Treasury Richness," 2024, The Journal of Finance
  • "Corporate Taxes and Capital Structure: A Long-Term Historical Perspective," 2020, Critical Finance Review

Frequent coauthors working with Longstaff include:

  • Matthias Fleckenstein
  • Kurt F. Lewis
  • Lubomir Petrasek
  • Ilya A. Strebulaev
  • А. В. Мосенков

Publication venues where Longstaff's research appears regularly include:

  • SSRN Electronic Journal
  • The Journal of Finance
  • Review of Financial Studies
  • Journal of Financial Economics
  • Critical Finance Review

Best Publications

  • Valuing American Options by Simulation: A Simple Least-Squares Approach

    Francis A Longstaff;Eduardo S Schwartz

  • Valuing American Options by Simulation: A Simple Least-Squares Approach

    Francis A. Longstaff;Eduardo S. Schwartz

  • A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

    Francis A. Longstaff;Eduardo S. Schwartz

  • Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

    Francis A. Longstaff;Sanjay Mithal;Eric Neis

  • An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

    K. C. Chan;G. Andrew Karolyi;Francis A. Longstaff;Anthony B. Sanders

  • How Sovereign is Sovereign Credit Risk

    Francis A. Longstaff;Jun Pan;Lasse H. Pedersen;Kenneth J. Singleton

  • Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

    Francis A. Longstaff;Eduardo S. Schwartz

  • The subprime credit crisis and contagion in financial markets

    Francis A. Longstaff

  • DYNAMIC ASSET ALLOCATION WITH EVENT RISK

    Jun Liu;Francis A. Longstaff;Jun Pan

  • Electricity Forward Prices: A High-Frequency Empirical Analysis

    Francis A. Longstaff;Ashley W. Wang

  • The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

    Francis A. Longstaff

  • Optimal Portfolio Choice and the Valuation of Illiquid Securities

    Francis A. Longstaff

  • An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

    Unknown

  • An Empirical Analysis of the Pricing of Collateralized Debt Obligations

    Francis A. Longstaff;Arvind Rajan

  • Corporate bond default risk: A 150-year perspective

    Kay Giesecke;Francis A. Longstaff;Stephen Schaefer;Ilya Strebulaev

  • Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

    Francis A. Longstaff;Francis A. Longstaff;Sanjay Mithal;Eric Neis

  • Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

    Jun Liu;Francis A. Longstaff

  • A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

    Unknown

  • Counterparty credit risk and the credit default swap market

    Navneet Arora;Priyank Gandhi;Francis A. Longstaff

  • Option Pricing and the Martingale Restriction

    Francis A. Longstaff

  • Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

    Andrew Ang;Francis A. Longstaff

  • A nonlinear general equilibrium model of the term structure of interest rates

    Francis A. Longstaff

  • Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?

    Jefferson Duarte;Francis A. Longstaff;Fan Yu

  • A Simple Approach to Valuing Risky Fixed and Floating Rate Debt and Determining Swap Spreads

    Francis A. Longstaff;Eduardo S. Schwartz;Eduardo S. Schwartz;Eduardo S. Schwartz

  • Electricity Forward Prices: A High-Frequency Empirical Analysis - eScholarship

    Francis Longstaff;Ashley Wang

Frequent Co-Authors

Eduardo S. Schwartz
Eduardo S. Schwartz Simon Fraser University
Pedro Santa-Clara
Pedro Santa-Clara Universidade Nova de Lisboa
Hanno Lustig
Hanno Lustig Stanford University
Kay Giesecke
Kay Giesecke Stanford University
Andrew Ang
Andrew Ang BlackRock (United States)
Lasse Heje Pedersen
Lasse Heje Pedersen Copenhagen Business School
Sebastian Edwards
Sebastian Edwards University of California, Los Angeles
Mark Grinblatt
Mark Grinblatt University of California, Los Angeles
Kenneth J. Singleton
Kenneth J. Singleton Stanford University
R. Michael Rich
R. Michael Rich University of California, Los Angeles

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