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Francis A. Longstaff

Global rank #614 99%

Institution: University of California-Los Angeles (UCLA)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://personal.anderson.ucla.edu/francis.longstaff/

First Publication: 1989

Most Recent: 2011

RePEc ID: plo283 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 2.01 34.35 5.70 0.00 82.45

Publication Statistics

Raw Publications 32
Coauthorship-Adjusted Count 42.24

Publications (32)

Year Article Journal Tier Authors
2011 How Sovereign Is Sovereign Credit Risk? American Economic Journal: Macroeconomics A 4
2010 The subprime credit crisis and contagion in financial markets Journal of Financial Economics A 1
2009 Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets American Economic Review S 1
2008 Two Trees The Review of Financial Studies A 3
2008 An Empirical Analysis of the Pricing of Collateralized Debt Obligations Journal of Finance A 2
2007 The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds Journal of Finance A 3
2005 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market Journal of Finance A 3
2004 Corporate earnings and the equity premium Journal of Financial Economics A 2
2003 Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? Journal of Financial Economics A 3
2003 Dynamic Asset Allocation with Event Risk Journal of Finance A 3
2001 The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence Journal of Finance A 3
2001 Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market Journal of Financial Economics A 3
2001 Valuing American Options by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies A 2
2001 Optimal Portfolio Choice and the Valuation of Illiquid Securities. The Review of Financial Studies A 1
2000 Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program Journal of Finance A 2
2000 Arbitrage and the Expectations Hypothesis Journal of Finance A 1
2000 The term structure of very short-term rates: New evidence for the expectations hypothesis Journal of Financial Economics A 1
1996 Valuing futures and options on volatility Journal of Banking & Finance B 2
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. Journal of Finance A 2
1995 How Much Can Marketability Affect Security Values? Journal of Finance A 1
1995 Option Pricing and the Martingale Restriction. The Review of Financial Studies A 1
1994 Electronic Screen Trading and the Transmission of Information: An Empirical Examination Journal of Financial Intermediation B 3
1993 Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market Journal of Financial and Quantitative Analysis B 2
1993 The valuation of options on coupon bonds Journal of Banking & Finance B 1
1992 Dual Trading in Futures Markets. Journal of Finance A 2
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. Journal of Finance A 2
1992 Multiple equilibria and term structure models Journal of Financial Economics A 1
1991 General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence Journal of Financial and Quantitative Analysis B 2
1990 Pricing Options with Extendible Maturities: Analysis and Applications. Journal of Finance A 1
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. Journal of Finance A 1
1990 The valuation of options on yields Journal of Financial Economics A 1
1989 A nonlinear general equilibrium model of the term structure of interest rates Journal of Financial Economics A 1