Selected Academic Papers by Francis Longstaff

1. Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?, forthcoming, Journal of Financial Economics

2. "Dynamic Asset Allocation with Event Risk" (with Jun Liu and Jun Pan), forthcoming Journal of Finance

3. "Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market" (with Pedro Santa-Clara & Eduardo S. Schwartz), forthcoming, Journal of Financial Economics

4. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence" (with Pedro Santa-Clara & Eduardo S. Schwartz), forthcoming, Journal of Finance.

5.. Valuing American Options by Simulation: A Simple Least Squares Approach (with Eduardo S. Schwartz), The Review of Financial Studies 14, 113-147, 2001.

6. Optimal Portfolio Choice and the Valuation of Illiquid Securities, The Review of Financial Studies 14, 407-431, 2001.

7. Arbitrage and the Expectations Hypothesis, The Journal of Finance 55, 989-994, 2000.

8.. The Term Structure of Very Short Term Interest Rates: New Evidence for the Expectations Hypothesis, Journal of Financial Economics 58, 397-415, 2000.

9. Financial Innovation and the Role of Derivatives Securities: An Empirical Analysis of the Treasury STRIPS Program (with Mark Grinblatt), The Journal of Finance 55, 1415-1436, 2000.

10. Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate (with Bradford Cornell and Eduardo Schwartz), Real Estate Economics 24, 23-41, 1996

11. Valuing Futures and Options on Volatility (with Andreas Grunbichler), Journal of Banking & Finance 20, 985-1001, 1996..

12. How Much Can Marketability Affect Security Values?, The Journal of Finance 50, 1767-1774, 1995.

13. Option Pricing and the Martingale Restriction, The Review of Financial Studies 8, 1091-1124, 1995.

14.. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (with Eduardo S. Schwartz), The Journal of Finance 50, 789-819, 1995.

15.Electronic Screen Trading and the Transmission of Information: An Empirical Examination (with Andreas Grunbichler and Eduardo S. Schwartz), Journal of Financial Intermediation 3, 166-187, 1994.

16. The Valuation of Options on Coupon Bonds, Journal of Banking & Finance 17, 27-42, 1993.

17. Multiple Equilibria and Term Structure Models, Journal of Financial Economics 32, 333-344, 1992.

18. Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market (with Thomas J. George), Journal of Financial and Quantitative Analysis 28, 381-397, 1993.

19. An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (with K.C. Chan, G. Andrew Karolyi, and Anthony B. Sanders), Journal of Finance 47, 1209-1227, 1992.

21. Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle, Journal of Business 65, 571-592, 1992.

22. General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence (with Michael L. Hemler), Journal of Financial and Quantitative Analysis 26, 287-308, 1991.

23. Dual Trading in Futures Markets (with Michael J. Fishman), The Journal of Finance 47, 643-671, 1990.

24. Time Varying Term Premia and Traditional Hypotheses about the Term Structure, The Journal of Finance 45, 1307-1314, 1990.

25. Pricing Options with Extendible Maturities: Analysis and Applications, The Journal of Finance 45, 935-957, 1990.

26. The Valuation of Options on Yields, Journal of Financial Economics 26, 97-121, 1990.

27. Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model, The Journal of Finance 44, 871-887, 1989.

28. A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates, Journal of Financial Economics 23, 195-224, 1989.

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