Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 10,581

SSRN RANKINGS

Top 10,581

in Total Papers Downloads

3,744

CITATIONS
Rank 45,366

SSRN RANKINGS

Top 45,366

in Total Papers Citations

3

Scholarly Papers (11)

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 526 (43,046)
Citation 1

Abstract:

Loading...

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 54 (329,821)
Citation 1

Abstract:

Loading...

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

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 568 (38,965)

Abstract:

Loading...

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 (540,807)
  • Add to Cart

Abstract:

Loading...

3.
Downloads 399 ( 61,491)

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 239 (108,545)

Abstract:

Loading...

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 160 (158,769)

Abstract:

Loading...

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

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 343 (43,683)
Citation 1

Abstract:

Loading...

Rare diaster concern, hedge fund, skill

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 211 (122,989)

Abstract:

Loading...

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

6.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 195 (94,888)

Abstract:

Loading...

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

7.

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 (49,964)

Abstract:

Loading...

Dollar Roll, TBA, MBS, Specialness, LSAP

8.

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 156 (62,802)

Abstract:

Loading...

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

9.

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 (205,594)

Abstract:

Loading...

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

10.

Introducing Transparency to the Mortgage Backed Security Market: Winners and Losers

Number of pages: 59 Posted: 31 Oct 2017
Paul Schultz and Zhaogang Song
University of Notre Dame and Johns Hopkins University - Carey Business School
Downloads 0 (456,020)

Abstract:

Loading...

mortgage backed securities, dealer networks, transparency, trade reporting

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 0 (143,094)

Abstract:

Loading...

mortgage backed securities, OTC Market, Liquidity