Stephen Schaefer
Stephen Schaefer
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Cited by
Cited by
Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds
SM Schaefer, IA Strebulaev
Journal of Financial Economics 90 (1), 1-19, 2008
Corporate bond default risk: A 150-year perspective
K Giesecke, FA Longstaff, S Schaefer, I Strebulaev
Journal of financial Economics 102 (2), 233-250, 2011
The term structure of real interest rates and the Cox, Ingersoll, and Ross model
RH Brown, SM Schaefer
Journal of Financial Economics 35 (1), 3-42, 1994
A two-factor model of the term structure: an approximate analytical solution
SM Schaefer, ES Schwartz
Journal of Financial and Quantitative analysis 19 (4), 413-424, 1984
Measuring a tax-specific term structure of interest rates in the market for British government securities
SM Schaefer
The Economic Journal 91 (362), 415-438, 1981
Evaluation of active management of the Norwegian government pension fund–global
A Ang, WN Goetzmann, S Schaefer
report to the Norwegian Ministry of Finance, 2009
Liquidity risk and correlation risk: A clinical study of the General Motors and Ford Downgrade of May 2005
VV Acharya, S Schaefer, Y Zhang
The Quarterly Journal of Finance 5 (02), 1550006, 2015
Non-linear value-at-risk
M Britten-Jones, SM Schaefer
Review of Finance 2 (2), 161-187, 1999
The Myth of the Credit Spread Puzzle
P Feldhutter, S Schaefer
Unpublished Manuscript, 2016
The direct and compliance costs of financial regulation
JR Franks, SM Schaefer, MD Staunton
Journal of Banking & Finance 21 (11-12), 1547-1572, 1997
Time‐dependent variance and the pricing of bond options
SM Schaefer, ES Schwartz
The Journal of Finance 42 (5), 1113-1128, 1987
Interest rate volatility and the shape of the term structure
RH Brown, SM Schaefer
Philosophical Transactions of the Royal Society of London. Series A …, 1994
Tax-induced clientele effects in the market for British government securities: Placing bounds on security values in an incomplete market
SM Schaefer
Journal of Financial Economics 10 (2), 121-159, 1982
The dynamics of the term structure and alternative portfolio immunization strategies
J Nelson, S Schaefer
Innovations in bond portfolio management: Duration analysis and immunization …, 1983
Macroeconomic effects of corporate default crisis: A long-term perspective
K Giesecke, FA Longstaff, S Schaefer, IA Strebulaev
Journal of Financial Economics 111 (2), 297-310, 2014
Taxes and security market equilibrium
SM Schaefer
Graduate School of Business, Stanford University, 1980
Exchange risk and international diversification in bond and equity portfolios
E Kaplanis, SM Schaefer
Journal of Economics and Business 43 (4), 287-307, 1991
The efficient market theory and evidence: implications for active investment management
A Ang, WN Goetzmann, SM Schaefer
Foundations and Trends® in Finance 5 (3), 157-242, 2011
A model for bond portfolio improvement
SD Hodges, SM Schaefer
Journal of Financial and Quantitative Analysis 12 (2), 243-260, 1977
Continuous price processes in frictionless markets have infinite variation
JM Harrison, R Pitbladdo, SM Schaefer
Journal of Business, 353-365, 1984
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