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

28

DOWNLOADS
Rank 4,487

SSRN RANKINGS

Top 4,487

in Total Papers Downloads

17,405

TOTAL CITATIONS
Rank 627

SSRN RANKINGS

Top 627

in Total Papers Citations

696

Scholarly Papers (28)

Actions:
Email selected abstracts
1.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Downloads 2,320 (12,952)
Citation 140

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 2,093 (14,991)

Abstract:

Loading...

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 227 (266,210)
Citation 140

Abstract:

Loading...

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 1,973 (16,747)
Citation 59

Abstract:

Loading...

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 1,658 (22,032)
Citation 3

Abstract:

Loading...

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 1,188 (36,026)
Citation 39

Abstract:

Loading...

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 980 (47,447)
Citation 25

Abstract:

Loading...

6.

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

Downloads 951 (49,520)
Citation 67

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 887 (53,665)
Citation 21

Abstract:

Loading...

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 64 (693,038)
Citation 46

Abstract:

Loading...

7.

Volatility Information Trading in the Option Market

Downloads 813 (61,366)
Citation 68

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 813 (60,438)
Citation 68

Abstract:

Loading...

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

Abstract:

Loading...

Volatility, Stock Options, Deriviatives, Information

8.

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

Downloads 488 (79,008)

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 422 (137,777)

Abstract:

Loading...

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 66 (682,171)

Abstract:

Loading...

9.

Chinese Capital Market: An Empirical Overview

Downloads 621 (86,818)
Citation 24

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 506 (110,868)
Citation 2

Abstract:

Loading...

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 115 (478,826)
Citation 22

Abstract:

Loading...

10.

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 610 (88,852)
Citation 15

Abstract:

Loading...

11.

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: 14 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 579 (94,926)
Citation 5

Abstract:

Loading...

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

12.

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 513 (110,388)
Citation 10

Abstract:

Loading...

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

13.

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 486 (117,719)
Citation 92

Abstract:

Loading...

14.

Noise as Information for Illiquidity

Downloads 483 (118,582)
Citation 63

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 406 (144,177)
Citation 63

Abstract:

Loading...

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 77 (627,122)

Abstract:

Loading...

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 427 (137,289)
Citation 25

Abstract:

Loading...

Short Sale, Options, CDS, Derivatives, Infomation

16.

FinTech Platforms and Mutual Fund Distribution

Downloads 425 (138,102)
Citation 9

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 377 (156,785)

Abstract:

Loading...

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 48 (792,862)
Citation 9

Abstract:

Loading...

17.

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 404 (146,421)
Citation 9

Abstract:

Loading...

18.

Tri-Party Repo Pricing

Downloads 391 (151,948)
Citation 10

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 318 (188,675)

Abstract:

Loading...

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 73 (646,118)
Citation 10

Abstract:

Loading...

19.

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 365 (163,879)
Citation 1

Abstract:

Loading...

20.

What Can Cross-Sectional Stocks Tell Us About Core Inflation Shocks?

Number of pages: 73 Posted: 05 Dec 2022 Last Revised: 30 Nov 2024
Claire Yurong Hong, Jun Liu, Jun Pan and Shiwen Tian
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 362 (165,366)

Abstract:

Loading...

Inflation, Cross-section, Stock returns, Core-CPI, Monetary Policy

21.

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 351 (171,025)
Citation 4

Abstract:

Loading...

22.

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

Number of pages: 69 Posted: 23 Nov 2021 Last Revised: 23 Mar 2024
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 264 (230,680)

Abstract:

Loading...

FOMC, Bond Fund, Monetary Policy, Forecasting

23.

The Stock-Bond Correlation: A Tale of Two Days in the U.S. Treasury Bond Market

Number of pages: 69 Posted: 03 Feb 2023 Last Revised: 24 Nov 2024
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 197 (305,417)

Abstract:

Loading...

Flights-to-safety, stock-bond correlation, UST resilience, Treasury convenience

24.

Dynamic Asset Allocation with Event Risk

Downloads 164 (359,491)
Citation 28

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 164 (359,265)
Citation 28

Abstract:

Loading...

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

Abstract:

Loading...

25.

The Pre-FOMC Drift and the Secular Decline in Long-Term Interest Rates

Number of pages: 52 Posted: 12 Apr 2024 Last Revised: 14 Apr 2024
Qing Peng and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 143 (402,500)

Abstract:

Loading...

26.

Top Government Meetings in China

Number of pages: 61 Posted: 04 Dec 2023 Last Revised: 18 Oct 2024
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 140 (409,331)

Abstract:

Loading...

27.

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 109 (495,382)

Abstract:

Loading...

28.

Option-Implied Crash Index

Number of pages: 45
Junxiong Gao and Jun Pan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 0

Abstract:

Loading...