Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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SSRN RANKINGS

Top 8,556

in Total Papers Downloads

5,516

SSRN CITATIONS
Rank 5,125

SSRN RANKINGS

Top 5,125

in Total Papers Citations

98

CROSSREF CITATIONS

114

Scholarly Papers (15)

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 770 (32,654)
Citation 3

Abstract:

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MBS, Dollar Roll, TBA, Specialness

2.
Downloads 664 ( 39,902)
Citation 53

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 652 (40,316)
Citation 8

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 12 (614,698)
Citation 25

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 558 (49,568)
Citation 15

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 77 (326,485)
Citation 3

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 623 (43,506)
Citation 6

Abstract:

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Rare diaster concern, hedge fund, skill

5.
Downloads 555 ( 50,501)
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 354 (86,471)
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 201 (156,519)
Citation 3

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 538 (52,545)
Citation 13

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 465 (63,135)
Citation 3

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 304 (102,632)
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 340 (91,248)
Citation 10

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 242 (131,249)
Citation 5

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 129 (228,764)

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 118 (244,661)
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 106 (263,935)
Citation 2

Abstract:

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

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 26 (520,334)

Abstract:

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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
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 1 (707,227)
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15.

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