We characterize a three‐factor model of commodity spot prices, convenience yields, and
interest rates, which nests many existing specifications. The model allows convenience yields …

… Pierre Collin-Dufresne is from the Graduate School of Industrial Administration, Carnegie
Mellon University and Robert S. Goldstein is from Washington University, St. Louis. …

Structural models of default calibrated to historical default rates, recovery rates, and Sharpe
ratios typically generate Baa–Aaa credit spreads that are significantly below historical values…

We study portfolio choice when labor income and dividends are cointegrated. Economically
plausible calibrations suggest young investors should take substantial short positions in the …

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we
study how measures of adverse selection respond to informed trading. We find that on days …

… To our knowledge, “unspanned stochastic volatility” models were first investigated by
Andreasen, Collin-Dufresne, and Shi (1997, hereafter ACS). They note that, while the Heath, Jarrow…

… Pierre Collin-Dufresne Graduate School of Business Columbia University Uris Hall 404 …
Collin-Dufresne and Goldstein (2009) show that such a framework is dynamically-consistent, …

Existing theories of the term structure of swap rates provide an analysis of the Treasury–swap
spread based on either a liquidity convenience yield in the Treasury market, or default risk …

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility
follows a general stochastic process. We determine conditions under which, in equilibrium, …

… Most of this work was carried out while Collin-Dufresne was at GSIA, Carnegie Mellon
University, while Goldstein was at the Olin School of Business, Washington University at St Louis, …