Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 6,849

SSRN RANKINGS

Top 6,849

in Total Papers Downloads

11,854

SSRN CITATIONS
Rank 1,997

SSRN RANKINGS

Top 1,997

in Total Papers Citations

717

CROSSREF CITATIONS

128

Scholarly Papers (26)

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, T. Rowe Price Group, University of Missouri, Columbia and Johns Hopkins University - Carey Business School
Downloads 1,758 (18,429)
Citation 11

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 934 (46,597)
Citation 8

Abstract:

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MBS, Dollar Roll, TBA, Specialness

3.

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 Group, Fudan University, Fanhai International School of Finance and Johns Hopkins University - Carey Business School
Downloads 846 (53,466)
Citation 30

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

4.
Downloads 777 (59,970)
Citation 129

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 739 (63,186)
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: 08 Jan 2023
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 38 (807,197)
Citation 43

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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 638 (76,340)
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 115 (438,633)
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: 17 Jan 2023
George Gao, Pengjie Gao and Zhaogang Song
T. Rowe Price Group, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads 720 (66,327)
Citation 15

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Rare diaster concern, hedge fund, skill

7.
Downloads 683 (70,944)
Citation 8

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 410 (131,311)
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 273 (204,232)
Citation 4

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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
George Gao, Xiaomeng Lu, Zhaogang Song and Hongjun Yan
T. Rowe Price Group, Fudan University, Fanhai International School of Finance, Johns Hopkins University - Carey Business School and DePaul University
Downloads 615 (80,964)
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 Tsinghua University - PBC School of Finance
Downloads 372 (146,685)
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 Tsinghua University - PBC School of Finance
Downloads 77 (574,819)

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 530 (97,610)
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 440 (122,347)
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
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 406 (134,000)
Citation 6

Abstract:

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

13.

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 Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 389 (140,628)
Citation 2

Abstract:

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

14.
Downloads 345 (160,628)
Citation 112

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
Stanford University - Knight Management Center, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 258 (216,232)
Citation 29

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: 31 May 2023
Zhiguo He, Stefan Nagel and Zhaogang Song
Stanford University - Knight Management Center, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 87 (533,087)
Citation 2

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15.
Downloads 319 (174,710)
Citation 11

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, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 238 (234,304)
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, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 81 (557,587)

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

16.

TBA Trading and Security Issuance in the Agency MBS Market

Number of pages: 59 Posted: 21 Dec 2020 Last Revised: 19 Dec 2023
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 284 (197,317)
Citation 3

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

17.

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

Johns Hopkins Carey Business School Research Paper No. 20-05
Number of pages: 64 Posted: 07 Aug 2020 Last Revised: 17 Feb 2023
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 279 (200,934)
Citation 1

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

18.

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

FRB of New York Staff Report No. 933, Rev. February 2024
Number of pages: 40 Posted: 21 Jul 2020 Last Revised: 24 Feb 2024
Jiakai Chen, Haoyang Liu, Asani Sarkar and Zhaogang Song
University of Hawaii, Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 238 (235,319)
Citation 10

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

19.

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 222 (251,423)
Citation 5

Abstract:

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mortgage backed securities, dealer networks, transparency, trade reporting

20.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 47 Posted: 14 Jul 2020 Last Revised: 25 Oct 2023
Wei Li and Zhaogang Song
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 191 (288,790)
Citation 5

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

21.

The Expected Returns of Agency MBS

Number of pages: 48 Posted: 17 Oct 2023
Dimensional Fund Advisors, Johns Hopkins University - Carey Business School, Dimensional Fund Advisors and Dimensional Fund Advisors
Downloads 157 (342,462)

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Fixed income, Mortgage-backed securities, TBA (To-Be-Announced), Systematic investing, Term premiums, Prepayment risk premiums

22.

Dealer Expertise and Market Concentration in OTC Trading

Johns Hopkins Carey Business School Research Paper No. 22-03
Number of pages: 42 Posted: 07 Jul 2020 Last Revised: 24 Jan 2024
Wei Li and Zhaogang Song
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 157 (342,462)

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

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
Stanford University - Knight Management Center, Duke University - Fuqua School of Business and Johns Hopkins University - Carey Business School
Downloads 104 (472,955)
Citation 21

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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: 24 May 2023
Zhiguo He, Paymon Khorrami and Zhaogang Song
Stanford University - Knight Management Center, Duke University - Fuqua School of Business and Johns Hopkins University - Carey Business School
Downloads 31 (865,575)

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24.
Downloads 125 (410,342)
Citation 3

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 Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 91 (517,887)
Citation 1

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 Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 34 (839,859)
Citation 4

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25.
Downloads 102 (479,686)

Agency MBS as Safe Assets

Number of pages: 64 Posted: 06 Sep 2022 Last Revised: 08 Nov 2022
Zhiguo He and Zhaogang Song
Stanford University - Knight Management Center and Johns Hopkins University - Carey Business School
Downloads 98 (496,587)

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

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
Stanford University - Knight Management Center and Johns Hopkins University - Carey Business School
Downloads 4 (1,133,004)

Abstract:

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26.

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