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Contingent claim-based expected stock returns

Chen, Zhiyao; Strebulaev, Ilya A. - 2013

Persistent link: https://www.econbiz.de/10010238530

Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less...

Persistent link: https://www.econbiz.de/10010387144

Government policy and ownership of equity securities

Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya A. - In: Journal of financial economics 111 (2014) 1, pp. 70-85

Persistent link: https://www.econbiz.de/10010255540

Strategic risk shifting and the idiosyncratic volatility puzzle : an empirical investigation

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 2751-2772

Persistent link: https://www.econbiz.de/10012550013

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

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market

Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254

Persistent link: https://www.econbiz.de/10003159306

Risk and return in fixed-income arbitrage : nickels in front of a streamroller?

Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan - In: The review of financial studies 20 (2007) 3, pp. 769-811

Persistent link: https://www.econbiz.de/10003554634

Inflation tracking portfolios

Downing, Christopher T.; Longstaff, Francis A.; … - 2012

Persistent link: https://www.econbiz.de/10009554460

Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - In: Journal of financial economics 114 (2014) 2, pp. 226-238

Persistent link: https://www.econbiz.de/10010532262