Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 6,466

in Total Papers Downloads

9,635

SSRN CITATIONS
Rank 3,854

SSRN RANKINGS

Top 3,854

in Total Papers Citations

216

CROSSREF CITATIONS

133

Scholarly Papers (27)

1.

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

Journal of International Money and Finance, Forthcoming
Number of pages: 44 Posted: 07 Jul 2020 Last Revised: 02 Nov 2021
Warrington College of Business, University of Florida, Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, University of Missouri, Columbia and Johns Hopkins University - Carey Business School
Downloads 1,669 (15,108)
Citation 3

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 851 (40,389)
Citation 8

Abstract:

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MBS, Dollar Roll, TBA, Specialness

3.
Downloads 711 ( 51,385)
Citation 71

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 688 (52,993)
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 2022
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 23 (700,544)
Citation 43

Abstract:

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4.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
George Gao, George Gao, Xiaomeng Lu and Zhaogang Song
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Fudan University, Fanhai International School of Finance and Johns Hopkins University - Carey Business School
Downloads 697 (52,789)
Citation 19

Abstract:

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

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 597 (63,570)
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 95 (378,038)
Citation 8

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

6.

Do Hedge Funds Exploit Rare Disaster Concerns?

Number of pages: 87 Posted: 02 Jun 2013 Last Revised: 01 May 2017
George Gao, George Gao, Pengjie Gao and Zhaogang Song
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads 662 (56,412)
Citation 15

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Rare diaster concern, hedge fund, skill

7.
Downloads 607 ( 63,025)
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 379 (110,167)
Citation 4

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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 228 (187,063)
Citation 4

Abstract:

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

8.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Fudan University, Fanhai International School of Finance, Johns Hopkins University - Carey Business School and DePaul University
Downloads 565 (68,992)
Citation 3

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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 343 (123,222)
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

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

Number of pages: 71 Posted: 18 Apr 2022
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 16 (761,572)

Abstract:

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

10.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 435 (94,709)
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 330 (129,275)
Citation 6

Abstract:

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mortgage backed securities, OTC Market, Liquidity

12.

Dealers as Information Intermediaries in Over-the-Counter Markets

Number of pages: 29 Posted: 03 Apr 2019 Last Revised: 24 Feb 2022
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 314 (136,100)
Citation 6

Abstract:

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

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 209 (203,324)

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: 30 May 2022
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 62 (483,198)
Citation 2

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14.

Shadow Bank and Fintech Mortgage Securitization

Johns Hopkins Carey Business School Research Paper No. 21-06
Number of pages: 49 Posted: 15 Jul 2021 Last Revised: 25 Apr 2022
Yu An, Lei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins Carey Business School, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 206 (206,253)

Abstract:

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

15.
Downloads 193 (218,740)
Citation 2

Asset Pricing with Cohort-Based Trading in MBS Markets

Journal of Finance, Forthcoming
Number of pages: 106 Posted: 20 Jul 2020 Last Revised: 28 Sep 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 147 (275,800)
Citation 2

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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, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 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 46 (554,127)
Citation 1

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

16.

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: 54 Posted: 07 Aug 2020 Last Revised: 29 Apr 2022
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 173 (240,367)
Citation 1

Abstract:

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Dealer inventory, Discriminatory pricing, Market power, MBS, Monetary policy

17.

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 170 (243,930)
Citation 5

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mortgage backed securities, dealer networks, transparency, trade reporting

18.

TBA Trading and Security Issuance in the Agency MBS Market

Number of pages: 80 Posted: 21 Dec 2020 Last Revised: 01 Jun 2022
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 161 (255,396)
Citation 3

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

19.

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. October 2021
Number of pages: 56 Posted: 21 Jul 2020 Last Revised: 06 Oct 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 136 (292,156)
Citation 1

Abstract:

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

20.

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 106 (349,351)
Citation 5

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

21.

Dealer Expertise and Market Concentration in OTC Trading

Johns Hopkins Carey Business School Research Paper No. 22-03
Number of pages: 56 Posted: 07 Jul 2020 Last Revised: 24 Feb 2022
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 97 (370,206)

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

22.

Dealer Disagreement and Asset Prices in FX Markets

Number of pages: 50 Posted: 14 Mar 2022 Last Revised: 16 Aug 2022
Robert H. Smith School of Business, University of Maryland, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Johns Hopkins University - Carey Business School
Downloads 86 (398,798)

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Currency, Dealer, Disagreement, Heterogeneous Information, Heterogeneous Beliefs, Derivatives

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 69 (457,084)
Citation 1

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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 Last Revised: 23 May 2022
Zhiguo He, Paymon Khorrami and Zhaogang Song
University of Chicago - Finance, Imperial College Business School and Johns Hopkins University - Carey Business School
Downloads 8 (842,805)

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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 57 (503,508)

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 6 (865,026)

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25.

Agency MBS as Safe Assets

NBER Working Paper No. w29899
Number of pages: 57 Posted: 04 Apr 2022 Last Revised: 25 Jul 2022
Zhiguo He and Zhaogang Song
University of Chicago - Finance and Johns Hopkins University - Carey Business School
Downloads 3 (865,816)
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26.

Agency MBS as Safe Assets

Number of pages: 56
Zhiguo He and Zhaogang Song
University of Chicago - Finance and Johns Hopkins University - Carey Business School
Downloads 1

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Convenience yield, Liquidity, Seasoned and Newly Issued MBS, Prepayment, Monetary Policy

27.

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