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… (More)
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Papers overview

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2017
2017
We study reaching for yield among corporate bond mutual funds. In a low-interest-rate environment, funds may seek to invest in… (More)
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2015
2015
  • A. Krishnamurthy
  • 2015
We study the behavior of credit spreads and their link to economic growth during financial crises. We have three main findings… (More)
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2012
2012
How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market… (More)
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2010
2010
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated… (More)
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2008
2008
Financial crises are often accompanied by a flight-from-leverage as levered investors realize that they are overextended in a… (More)
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Highly Cited
2005
Highly Cited
2005
The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a… (More)
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Highly Cited
2004
Highly Cited
2004
“Limits of Arbitrage” theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur… (More)
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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… (More)
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Highly Cited
2002
Highly Cited
2002
Most term structure models assume bond markets are complete, i.e., that all fixed income derivatives can be perfectly replicated… (More)
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Highly Cited
1999
Highly Cited
1999
We analyze the trading activity of the mutual fund industry from 1975 through 1994 to determine whether funds “herd” when they… (More)
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