Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 13,759

SSRN RANKINGS

Top 13,759

in Total Papers Downloads

2,769

CITATIONS

2

Scholarly Papers (9)

The Value of Trading Relationships in Turbulent Times

Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Number of pages: 54 Posted: 07 Jul 2015 Last Revised: 20 Jul 2016
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 524 (41,167)

Abstract:

OTC markets, network, corporate bonds, crisis, intermediation chains, leaning against the wind

The Value of Trading Relationships in Turbulent Times

NBER Working Paper No. w22332
Number of pages: 52 Posted: 13 Jun 2016
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 8 (521,612)

Abstract:

2.

Do Hedge Funds Exploit Rare Disaster Concerns?

Number of pages: 87 Posted: 02 Jun 2013 Last Revised: 01 May 2017
George Gao, Pengjie Gao and Zhaogang Song
T. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads 343 (46,095)
Citation 1

Abstract:

Rare diaster concern, hedge fund, skill

3.
Downloads 303 ( 80,369)

QE Auctions of Treasury Bonds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 31 Mar 2016 Last Revised: 09 Mar 2017
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 159 (152,705)

Abstract:

Auction, Federal Reserve, Quantitative Easing, Treasury Bond

QE Auctions of Treasury Bonds

FEDS Working Paper No. 2014-48
Number of pages: 55 Posted: 30 Jul 2014
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 144 (166,419)

Abstract:

auction, quantitative easing, Federal Reserve, treasury bond, specialness

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 71 Posted: 23 Sep 2015 Last Revised: 02 Jan 2017
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 181 (136,009)

Abstract:

Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives

5.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 195 (96,813)

Abstract:

return predictability, stochastic volatility-of-volatility, variance risk premium, VIX options, volatility tail risks

6.

Mortgage Dollar Roll

Number of pages: 54 Posted: 27 Feb 2014 Last Revised: 04 Feb 2016
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 174 (55,613)

Abstract:

Dollar Roll, TBA, MBS, Specialness, LSAP

7.

Rare Disaster Concerns Everywhere

Number of pages: 80 Posted: 17 May 2015 Last Revised: 12 Apr 2016
George Gao and Zhaogang Song
T. Rowe Price and Johns Hopkins University - Carey Business School
Downloads 156 (74,658)
Citation 1

Abstract:

Bond; Commodity; Currency; Equity; Option; Rare Disaster Risk

8.

Intermediation and Pricing in Tri-Party Repo Market

Number of pages: 20 Posted: 24 Aug 2015
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 85 (200,500)

Abstract:

Repo; Tri-party; Intermediation; General Collateral Finance; Overnight

9.

Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market

Number of pages: 67 Posted: 13 Dec 2015 Last Revised: 03 Sep 2016
Pengjie Gao, Paul H. Schultz and Zhaogang Song
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 0 (151,751)

Abstract:

mortgage backed securities, OTC Market, Liquidity