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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

Persistent link: https://www.econbiz.de/10001852332

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

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

Persistent link: https://www.econbiz.de/10002022642

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