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Municipal debt and marginal tax rates : is there a tax premium in asset prices ?

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 721-751

Persistent link: https://www.econbiz.de/10009160340

Municipal debt and marginal tax rates : is there a tax premium in asset prices?

Longstaff, Francis A. - 2009

Persistent link: https://www.econbiz.de/10003804127

Municipal Debt and Marginal Tax Rates : Is there a Tax Premium in Asset Prices?

Longstaff, Francis A. - 2009

We study the marginal tax rate incorporated into short-term tax-exempt municipal rates using a unique new data set from the municipal swap market. By applying an affine term-structure framework, we are able to identify both the marginal tax rate and the credit/liquidity spread in one-week...

Persistent link: https://www.econbiz.de/10012463960

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

Why does the treasury issue tips? : the tips-treasury bond puzzle

Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2010

Persistent link: https://www.econbiz.de/10008663044

Deflation risk

Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2013

Persistent link: https://www.econbiz.de/10009784893

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

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

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

Fleckenstein, Matthias - 2010

We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56...

Persistent link: https://www.econbiz.de/10013138312