Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 8,037

SSRN RANKINGS

Top 8,037

in Total Papers Downloads

6,152

SSRN CITATIONS
Rank 4,627

SSRN RANKINGS

Top 4,627

in Total Papers Citations

146

CROSSREF CITATIONS

117

Scholarly Papers (21)

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 784 (33,910)
Citation 7

Abstract:

Loading...

MBS, Dollar Roll, TBA, Specialness

2.
Downloads 674 ( 41,645)
Citation 60

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 661 (42,128)
Citation 8

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 13 (637,664)
Citation 33

Abstract:

Loading...

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 565 (51,817)
Citation 17

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 80 (335,616)
Citation 5

Abstract:

Loading...

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 635 (45,089)
Citation 10

Abstract:

Loading...

Rare diaster concern, hedge fund, skill

5.
Downloads 566 ( 52,325)
Citation 6

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 362 (89,291)
Citation 4

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 204 (162,931)
Citation 3

Abstract:

Loading...

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 565 (52,432)
Citation 15

Abstract:

Loading...

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 477 (64,924)
Citation 3

Abstract:

Loading...

Disagreement, heterogeneous beliefs, speculation, asset pricing

8.

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

Number of pages: 42 Posted: 07 Jul 2020 Last Revised: 11 Aug 2020
University of Florida, Warrington College of Business, T. Rowe Price, University of Missouri, Columbia and Johns Hopkins University - Carey Business School
Downloads 402 (79,946)

Abstract:

Loading...

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

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 315 (104,510)
Citation 3

Abstract:

Loading...

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 365 (89,133)
Citation 10

Abstract:

Loading...

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 263 (127,420)
Citation 6

Abstract:

Loading...

mortgage backed securities, OTC Market, Liquidity

12.

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 135 (232,504)
Citation 4

Abstract:

Loading...

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

13.

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 127 (243,697)
Citation 4

Abstract:

Loading...

mortgage backed securities, dealer networks, transparency, trade reporting

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, University of Chicago, Booth School of Business, Students and Johns Hopkins University - Carey Business School
Downloads 47 (441,389)

Abstract:

Loading...

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, University of Chicago, Booth School of Business, Students and Johns Hopkins University - Carey Business School
Downloads 2 (728,739)
  • Add to Cart

Abstract:

Loading...

Treasury Inconvenience Yields During the COVID-19 Crisis

NBER Working Paper No. w27416
Number of pages: 62 Posted: 22 Jun 2020 Last Revised: 14 Jul 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 26 (545,974)

Abstract:

Loading...

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 20 (586,617)

Abstract:

Loading...

D8, G2

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 52 Posted: 20 Jul 2020 Last Revised: 07 Aug 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 18 (601,025)

Abstract:

Loading...

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: 53 Posted: 07 Jul 2020 Last Revised: 11 Aug 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 9 (668,307)
Citation 1

Abstract:

Loading...

cohort, heterogeneity, liquidity, MBS, prepayment, TBA

Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond

FRB of New York Staff Report No. 933
Number of pages: 48 Posted: 21 Jul 2020
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 12 (645,437)

Abstract:

Loading...

arbitrage, basis, cohort, dealer, liquidity, MBS, specified pool, TBA

Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond

Number of pages: 48 Posted: 28 Jul 2020
Zhaogang Song, Haoyang Liu, Asani Sarkar and Jiakai Chen
Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York, Federal Reserve Bank of New York and University of Hawaii
Downloads 12 (645,437)

Abstract:

Loading...

Arbitrage, Basis, Cohort, Dealer, Liquidity, MBS, Specified Pool, TBA

18.

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 22 (554,839)

Abstract:

Loading...

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

19.

Expertise, Information, and Dealer-intermediated OTC Markets

Number of pages: 45 Posted: 07 Jul 2020
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 19 (574,003)

Abstract:

Loading...

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

20.

Monetary Policy Implementation in MBS Markets Through Heterogeneous Dealers

Number of pages: 52 Posted: 07 Aug 2020
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 12 (620,664)

Abstract:

Loading...

Asymmetric auction, Dealer, Inventory, Monetary policy, Mortgage-backed securities

21.

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:

Loading...

MBS; Trading; Transaction Costs