Jun Pan

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

China Academy of Financial Research (CAFR)

1954 Huashan Road

Shanghai P.R.China, 200030

China

  • Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

SCHOLARLY PAPERS

26

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15,135

SSRN CITATIONS
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886

CROSSREF CITATIONS

1,210

Scholarly Papers (26)

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1.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Downloads 2,241 (11,834)
Citation 542

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 2,035 (13,523)

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Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105
Number of pages: 45 Posted: 11 Jun 2000 Last Revised: 02 Dec 2022
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 206 (253,146)
Citation 108

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2.

Liquidity of Corporate Bonds

Number of pages: 40 Posted: 25 Mar 2008 Last Revised: 11 Sep 2009
Jack Bao, Jun Pan and Jiang Wang
University of Delaware - Department of Finance, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,890 (15,480)
Citation 50

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3.

The Information in Option Volume for Stock Prices

MIT Sloan Working Paper No. 4275-03
Number of pages: 28 Posted: 14 Jan 2003
Allen M. Poteshman and Jun Pan
University of Illinois at Urbana-Champaign - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,589 (20,243)
Citation 3

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options, information, volume, derivatives

4.

Dynamic Derivative Strategies

MIT Sloan Working Paper No. 4334-02
Number of pages: 33 Posted: 05 Feb 2002
Jun Liu and Jun Pan
University of California, San Diego (UCSD) - Rady School of Management and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,135 (33,337)
Citation 39

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5.

Integrated Time-Series Analysis of Spot and Option Prices

AFA 2001 New Orleans Meetings
Number of pages: 55 Posted: 30 Nov 1999
Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 961 (42,205)
Citation 25

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6.

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

Downloads 828 (51,851)
Citation 47

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

Number of pages: 65 Posted: 02 Dec 2018 Last Revised: 29 Jul 2021
Grace Xing Hu, Jun Pan, Jiang Wang and Haoxiang Zhu
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 779 (55,419)
Citation 20

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Pre-Announcement Drift, Macroeconomic Announcements, FOMC, Heightened Uncertainty, VIX

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

NBER Working Paper No. w25817
Number of pages: 54 Posted: 13 May 2019 Last Revised: 17 Jul 2023
Grace Xing Hu, Jun Pan, Jiang Wang and Haoxiang Zhu
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 49 (681,458)
Citation 30

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7.

Volatility Information Trading in the Option Market

Downloads 760 (58,146)

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
Sophie Xiaoyan Ni, Jun Pan and Allen M. Poteshman
Hong Kong Baptist University (HKBU), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 760 (57,313)
Citation 61

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options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
Sophie Xiaoyan Ni, Jun Pan and Allen M. Poteshman
Hong Kong Baptist University (HKBU), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Illinois at Urbana-Champaign - Department of Finance

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Volatility, Stock Options, Deriviatives, Information

8.

Bond Illiquidity and Excess Volatility

AFA 2009 San Francisco Meetings Paper, Charles A. Dice Center Working Paper No. 2010-20; Fisher College of Business Working Paper No. 2010-03-020
Number of pages: 52 Posted: 13 Mar 2008 Last Revised: 19 May 2013
Jack Bao and Jun Pan
University of Delaware - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 578 (82,445)
Citation 15

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9.

Chinese Capital Market: An Empirical Overview

Downloads 541 (89,636)
Citation 15

Chinese Capital Market: An Empirical Overview

Number of pages: 72 Posted: 05 Jan 2018
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 446 (111,962)
Citation 2

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Chinese capital market

Chinese Capital Market: An Empirical Overview

NBER Working Paper No. w24346
Number of pages: 73 Posted: 28 Feb 2018 Last Revised: 10 Jul 2023
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 95 (471,912)
Citation 14

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10.

Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Number of pages: 48 Posted: 30 Nov 2013 Last Revised: 27 Feb 2017
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 487 (101,970)
Citation 10

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Market Efficiency, Multi-tiered Information Release, High-frequency Trading

11.

FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments

Downloads 404 (106,084)
Citation 4

FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments

Number of pages: 56 Posted: 30 Oct 2020 Last Revised: 12 Dec 2022
Claire Yurong Hong, Xiaomeng Lu and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fudan University, Fanhai International School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 359 (143,814)

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FinTech, Digital Payment, Financial Inclusion, Consumption, Risk Taking, Household Finance

Fintech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments

NBER Working Paper No. w28063
Number of pages: 57 Posted: 09 Nov 2020 Last Revised: 06 Mar 2023
Claire Yurong Hong, Xiaomeng Lu and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fudan University, Fanhai International School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 45 (707,439)

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12.

Noise as Information for Illiquidity

Downloads 432 (117,480)
Citation 104

Noise as Information for Illiquidity

Journal of Finance, Forthcoming
Number of pages: 70 Posted: 09 Oct 2010 Last Revised: 25 Sep 2012
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 360 (143,385)
Citation 63

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Noise as Information for Illiquidity

NBER Working Paper No. w16468
Number of pages: 33 Posted: 18 Oct 2010 Last Revised: 02 Jul 2023
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 72 (560,189)

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13.

An Equilibrium Model of Rare Event Premia

MIT Sloan Working Paper No. 4370-02; AFA 2003 Washington, DC Meetings, Sauder School of Business Working Paper
Number of pages: 22 Posted: 31 May 2002
Jun Liu, Tan Wang and Jun Pan
University of California, San Diego (UCSD) - Rady School of Management, University of British Columbia (UBC) - Division of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 387 (133,377)
Citation 7

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14.

Tri-Party Repo Pricing

Downloads 370 (140,168)
Citation 19

Tri-Party Repo Pricing

Number of pages: 51 Posted: 30 Nov 2014 Last Revised: 02 Apr 2018
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 306 (170,756)

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Tri-Party Repo, Pricing, Haircut, Money Market Funds

Tri-Party Repo Pricing

NBER Working Paper No. w21502
Number of pages: 61 Posted: 31 Aug 2015 Last Revised: 03 Apr 2022
Grace Xing Hu, Jun Pan and Jiang Wang
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 64 (597,674)
Citation 10

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15.

Trading Options and CDS on Stocks under the Short Sale Ban

Number of pages: 32 Posted: 04 Aug 2010 Last Revised: 16 Nov 2020
Sophie Xiaoyan Ni and Jun Pan
Hong Kong Baptist University (HKBU) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 360 (144,457)
Citation 25

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Short Sale, Options, CDS, Derivatives, Infomation

16.

Stochastic Volatility with Reset at Jumps

Number of pages: 26 Posted: 27 Oct 1998
Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 355 (146,706)
Citation 1

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17.

The Information of Option Volume for Future Stock Prices

NBER Working Paper No. w10925
Number of pages: 37 Posted: 13 Dec 2004 Last Revised: 09 Nov 2022
Allen M. Poteshman and Jun Pan
University of Illinois at Urbana-Champaign - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 353 (148,038)
Citation 92

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18.

The SOE Premium and Government Support in China’s Credit Market

Journal of Finance, forthcoming
Number of pages: 69 Posted: 30 Oct 2019 Last Revised: 07 Dec 2023
Zhe Geng and Jun Pan
Fudan University - School of Management and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 329 (159,200)
Citation 2

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SOE Premium, Government Support, Credit Risk, Price Discovery, Chinese Corporate Bond

19.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 29 Oct 2022
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 320 (163,986)
Citation 4

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20.

FinTech Platforms and Mutual Fund Distribution

Downloads 288 (183,193)
Citation 3

FinTech Platforms and Mutual Fund Distribution

Management Science, Forthcoming
Number of pages: 64 Posted: 05 Nov 2019 Last Revised: 21 Jul 2023
Claire Yurong Hong, Xiaomeng Lu and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fudan University, Fanhai International School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 256 (205,334)

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Platforms, Centralized Distribution, Flow-Performance Sensitivity, Managerial Risk-Taking

Fintech Platforms and Mutual Fund Distribution

NBER Working Paper No. w26576
Number of pages: 57 Posted: 24 Dec 2019 Last Revised: 12 Feb 2023
Claire Yurong Hong, Xiaomeng Lu and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fudan University, Fanhai International School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 32 (804,545)
Citation 2

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21.

Inflation Forecasting from Cross-Sectional Stocks

Number of pages: 55 Posted: 05 Dec 2022 Last Revised: 21 Feb 2023
Claire Yurong Hong, Jun Pan and Shiwen Tian
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 199 (261,912)

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Inflation, Cross-section, Stock returns, Core-CPI, Headline-CPI, Announcements

22.

Dynamic Asset Allocation with Event Risk

Downloads 138 (357,192)

Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002 Last Revised: 17 Nov 2022
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 138 (357,991)
Citation 23

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Dynamic Asset Allocation with Event Risk

Journal of Finance, Vol. 58, pp. 231-259, 2003
Posted: 04 Nov 2003
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area

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23.

The SOE Premium and Government Support in China's Credit Market

NBER Working Paper No. w26575
Number of pages: 70 Posted: 24 Dec 2019 Last Revised: 11 Feb 2023
Zhe Geng and Jun Pan
Fudan University - School of Management and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 97 (461,931)

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24.

The Stock-Bond Correlation: A Tale of Two Days

Number of pages: 67 Posted: 03 Feb 2023 Last Revised: 05 Dec 2023
Grace Xing Hu, Zhao Jin and Jun Pan
PBC School of Finance, Tsinghua University, Central University of Finance and Economics (CUFE) - School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 83 (509,322)

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Flight-to-UST, Global Co-movements, Safe Haven Assets

25.

What Can Macro-Active Bond Funds Tell Us About Monetary Policy Changes?

Number of pages: 69 Posted: 23 Nov 2021 Last Revised: 11 Dec 2023
Claire Yurong Hong, Jun Pan and Shiwen Tian
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 6 (1,024,249)

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FOMC, Bond Fund, Monetary Policy, Forecasting

26.

The Pre-Announcement Drift in China: Government Meetings and Macro Announcements

Number of pages: 41 Posted: 04 Dec 2023
Jun Pan and Qing Peng
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 4 (1,031,234)

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