Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 6,679

SSRN RANKINGS

Top 6,679

in Total Papers Downloads

8,186

SSRN CITATIONS
Rank 3,963

SSRN RANKINGS

Top 3,963

in Total Papers Citations

223

CROSSREF CITATIONS

122

Scholarly Papers (24)

1.

Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises

Number of pages: 35 Posted: 07 Jul 2020 Last Revised: 12 Feb 2021
Warrington College of Business, University of Florida, T. Rowe Price, University of Missouri, Columbia and Johns Hopkins University - Carey Business School
Downloads 1,509 (14,927)
Citation 4

Abstract:

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monetary policy, quantitative easing, disaster risk, COVID-19

2.

Mortgage Dollar Roll

Review of Financial Studies (Forthcoming)
Number of pages: 72 Posted: 27 Feb 2014 Last Revised: 05 Aug 2018
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 819 (36,572)
Citation 8

Abstract:

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MBS, Dollar Roll, TBA, Specialness

3.
Downloads 691 ( 46,071)
Citation 72

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 672 (47,215)
Citation 7

Abstract:

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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 Last Revised: 10 Jul 2021
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 19 (656,301)
Citation 43

Abstract:

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A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 581 (57,055)
Citation 21

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Multi-Factor Volatility Model, Pricing Kernel, Variance Swaps, VIX Options

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

FEDS Working Paper No. 2014-58
Number of pages: 44 Posted: 31 May 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 88 (352,054)
Citation 8

Abstract:

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Pricing kernel, volatility risk, VIX option, state-price density

5.

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 647 (50,257)
Citation 15

Abstract:

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Rare diaster concern, hedge fund, skill

6.
Downloads 588 ( 56,861)
Citation 7

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 372 (97,866)
Citation 4

Abstract:

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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 216 (173,192)
Citation 4

Abstract:

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

7.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
George Gao, Xiaomeng Lu and Zhaogang Song
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 586 (57,125)
Citation 15

Abstract:

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Asset Class; Bond; Currency; Equity; Option; Tail Risk Concerns

8.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
George Gao, Xiaomeng Lu, Zhaogang Song and Hongjun Yan
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 515 (67,054)
Citation 3

Abstract:

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Disagreement, heterogeneous beliefs, speculation, asset pricing

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: 74 Posted: 23 Sep 2015 Last Revised: 29 Jul 2017
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and SUSTech Business School
Downloads 330 (112,164)
Citation 3

Abstract:

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

10.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 401 (90,514)
Citation 10

Abstract:

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

11.

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 298 (125,921)
Citation 6

Abstract:

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mortgage backed securities, OTC Market, Liquidity

Treasury Inconvenience Yields During the Covid-19 Crisis

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-79
Number of pages: 62 Posted: 23 Jun 2020
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 163 (223,251)

Abstract:

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D8, G2

Treasury Inconvenience Yields During the Covid-19 Crisis

NBER Working Paper No. w27416
Number of pages: 59 Posted: 22 Jun 2020 Last Revised: 27 Jun 2021
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 49 (480,902)
Citation 2

Abstract:

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13.

Dealers as Information Intermediaries in Over-the-Counter Market

Number of pages: 51 Posted: 03 Apr 2019 Last Revised: 15 May 2019
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 194 (191,644)
Citation 6

Abstract:

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Dealer, Intermediation, Private Information, Decentralization, OTC, Trading, Liquidity

14.

Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market

Number of pages: 49 Posted: 31 Oct 2017 Last Revised: 05 May 2018
Paul Schultz and Zhaogang Song
University of Notre Dame and Johns Hopkins University - Carey Business School
Downloads 142 (249,859)
Citation 5

Abstract:

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mortgage backed securities, dealer networks, transparency, trade reporting

15.

Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementations?

Johns Hopkins Carey Business School Research Paper No. 20-05
Number of pages: 57 Posted: 07 Aug 2020 Last Revised: 03 May 2021
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 104 (313,523)
Citation 1

Abstract:

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Inventory, Market power, Monetary policy, MBS, Primary dealer

16.

Cohort Trading and Security Design: Theory and Evidence from Agency MBS Markets

Number of pages: 77 Posted: 21 Dec 2020 Last Revised: 14 Jun 2021
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 94 (334,824)
Citation 4

Abstract:

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Cohort trading, MBS, Security design, Specified pool, TBA.

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 66 Posted: 20 Jul 2020 Last Revised: 06 Jul 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 56 (452,616)
Citation 2

Abstract:

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Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA

Asset Pricing with Cohort-Based Trading in MBS Markets

FRB of New York Staff Report No. 931
Number of pages: 58 Posted: 07 Jul 2020 Last Revised: 03 Dec 2020
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 34 (554,633)
Citation 2

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

18.

Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

FRB of New York Staff Report No. 933, Rev. May 2021
Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 24 May 2021
Jiakai Chen, Haoyang Liu, Asani Sarkar and Zhaogang Song
University of Hawaii, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 73 (389,277)

Abstract:

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arbitrage, cash, dealer, liquidity, MBS, specified pool, TBA

19.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 48 Posted: 14 Jul 2020 Last Revised: 17 Jul 2020
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 61 (427,668)
Citation 4

Abstract:

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Asset Heterogeneity, Corporate Bonds, Quasi-Consolidated Trading, TBA, MBS, Search

Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-136
Number of pages: 82 Posted: 26 Nov 2019
Zhiguo He, Paymon Khorrami and Zhaogang Song
University of Chicago - Finance, Imperial College Business School and Johns Hopkins University - Carey Business School
Downloads 59 (441,174)
Citation 1

Abstract:

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Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

NBER Working Paper No. w26494
Number of pages: 81 Posted: 27 Nov 2019
Zhiguo He, Paymon Khorrami and Zhaogang Song
University of Chicago - Finance, Imperial College Business School and Johns Hopkins University - Carey Business School
Downloads 2 (799,748)
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21.

Dealer Expertise and Market Concentration in OTC Trading

Number of pages: 48 Posted: 07 Jul 2020 Last Revised: 12 Apr 2021
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 59 (434,828)

Abstract:

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Dealer, Expertise, Private Information, OTC, Bilateral Trading, Network

Defragmenting Markets: Evidence from Agency MBS

FRB of New York Staff Report No. 965
Number of pages: 53 Posted: 05 May 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 22 (633,635)

Abstract:

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MBS, TBA, Single Security Initiative, UMBS, liquidity

Defragmenting Markets: Evidence from Agency MBS

FRB of Philadelphia Working Paper No. 21-25
Number of pages: 53 Posted: 09 Jul 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 3 (788,926)

Abstract:

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23.

Shadow Bank and Fintech Mortgage Securitization

Number of pages: 51 Posted: 15 Jul 2021
Yu An, Lei Li and Zhaogang Song
Johns Hopkins Carey Business School, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 18 (641,831)

Abstract:

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Agency MBS, Bank, Fintech, Liquidity, Securitization, Shadow Bank

24.

Trading Methods and Trading Costs for Agency Mortgage Backed Securities

Journal of Investment Management, Forthcoming
Posted: 16 Jun 2018
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

Abstract:

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MBS; Trading; Transaction Costs