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Expected returns on commodity ETFs and their underlying assets

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015162611

Time varying term premia and traditional hypotheses about the term structure

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1307-1314

Persistent link: https://www.econbiz.de/10001098060

Two trees : asset price dynamics induced by market clearing

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003

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Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market

Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric - 2004

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Small Business Equity Returns : Empirical Evidence from the Business Credit Card Securitization Market

Fleckenstein, Matthias; Longstaff, Francis A. - 2022

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders....

Persistent link: https://www.econbiz.de/10014239490