Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

14

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CITATIONS
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in Total Papers Citations

63

Scholarly Papers (14)

1.

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 719 (33,949)
Citation 2

Abstract:

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MBS, Dollar Roll, TBA, Specialness

2.
Downloads 646 ( 39,176)
Citation 33

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 635 (39,535)
Citation 14

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
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 11 (591,563)
Citation 45

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 556 (47,200)
Citation 11

Abstract:

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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 73 (321,174)
Citation 19

Abstract:

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

4.

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 617 (41,691)
Citation 8

Abstract:

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Rare diaster concern, hedge fund, skill

5.
Downloads 533 ( 50,384)
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 340 (86,124)
Citation 6

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 193 (154,899)
Citation 4

Abstract:

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

6.

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 524 (51,499)
Citation 16

Abstract:

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

7.

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 445 (63,160)
Citation 1

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 Tsinghua University - PBC School of Finance
Downloads 289 (103,082)
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

9.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 323 (91,774)
Citation 8

Abstract:

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

10.

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 228 (132,325)

Abstract:

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mortgage backed securities, OTC Market, Liquidity

11.

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 126 (221,869)

Abstract:

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

12.

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 108 (248,336)
Citation 1

Abstract:

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mortgage backed securities, dealer networks, transparency, trade reporting

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 60 (352,145)
Citation 1

Abstract:

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

14.

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