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Francis Longstaff

Francis A. Longstaff (born August 3, 1956) is an American educator and pioneer in quantitative finance. He serves as the Allstate Professor of… Expand
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Papers overview

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Highly Cited
2017
Highly Cited
2017
We study the behavior of credit and output across a financial crisis cycle using information from credit spreads. We show the… Expand
Highly Cited
2014
Highly Cited
2014
This article examines the link between the opportunity cost of money and time-varying liquidity premia of near-money assets… Expand
Highly Cited
2014
Highly Cited
2014
type="main"> We investigate the relationship between ex ante total skewness and holding returns on individual equity options… Expand
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Highly Cited
2012
Highly Cited
2012
How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market… Expand
2010
2010
Is competition sufficient to induce transparency in financial markets? We examine this question taking into consideration that… Expand
2009
2009
The political environment in which a firm operates affects a firm's optimal capital structure. Politicians frequently derive a… Expand
Highly Cited
2006
Highly Cited
2006
This paper documents a strong relationship between short-run reversals and stock illiquidity, even after controlling for trading… Expand
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Highly Cited
2004
Highly Cited
2004
We present a novel approach to dynamic portfolio selection that is no more difficult to implement than the static Markowitz model… Expand
Highly Cited
2001
Highly Cited
2001
Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly… Expand
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Highly Cited
1994
Highly Cited
1994
In existing models of information acquisition, all informed investors receive their information at the same time. This article… Expand
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