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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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2017
2017
We explore the optimal timing of voluntary disclosures by firms. By delaying disclosure of a signal, firms encourage the… Expand
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Highly Cited
2014
Highly Cited
2014
Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the… Expand
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2014
2014
We build an A ne Term Structure Model that provides non-negative yields at any maturity and that is able to accommodate a short… Expand
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2013
2013
Standard models of liquidity argue that the higher price for a liquid security reflects the future benefits that long investors… 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
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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
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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
1998
Highly Cited
1998
We analyze the trading activity of the mutual fund industry between 1975 and 1994 to determine whether funds "herd" when they… 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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