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

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 3,375

SSRN RANKINGS

Top 3,375

in Total Papers Downloads

10,964

CITATIONS
Rank 1,404

SSRN RANKINGS

Top 1,404

in Total Papers Citations

288

Scholarly Papers (18)

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
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 1,922 (7,437)

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: 16 Apr 2008
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 129 (218,869)
Citation 459

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 1,676 (9,537)
Citation 70

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 1,392 (12,892)
Citation 8

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 1,036 (20,179)
Citation 91

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 910 (24,496)
Citation 21

Abstract:

Loading...

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
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 656 (37,864)
Citation 50

Abstract:

Loading...

options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
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

7.

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 495 (55,366)
Citation 23

Abstract:

Loading...

8.

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 398 (72,295)
Citation 6

Abstract:

Loading...

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

9.

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 347 (84,792)
Citation 17

Abstract:

Loading...

10.
Downloads 320 ( 92,806)
Citation 96

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 287 (103,947)
Citation 104

Abstract:

Loading...

Noise as Information for Illiquidity

NBER Working Paper No. w16468
Number of pages: 33 Posted: 18 Oct 2010
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 33 (458,776)

Abstract:

Loading...

11.

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 318 (93,463)
Citation 1

Abstract:

Loading...

12.
Downloads 281 (106,829)
Citation 1

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 252 (119,274)

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
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 29 (479,080)
Citation 1

Abstract:

Loading...

13.

Trading Options and CDS on Stocks under the Short Sale Ban

Number of pages: 32 Posted: 04 Aug 2010 Last Revised: 17 May 2019
Sophie Xiaoyan Ni and Jun Pan
Hong Kong Baptist University (HKBU) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 255 (118,326)
Citation 16

Abstract:

Loading...

Short Sale, Options, CDS, Derivatives, Infomation

14.
Downloads 233 (129,682)
Citation 1

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 213 (141,093)

Abstract:

Loading...

Chinese capital market

Chinese Capital Market: An Empirical Overview

NBER Working Paper No. w24346
Number of pages: 73 Posted: 28 Feb 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 20 (532,976)
  • Add to Cart

Abstract:

Loading...

15.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 07 Feb 2008
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 220 (137,081)
Citation 9

Abstract:

Loading...

16.

The Information of Option Volume for Future Stock Prices

NBER Working Paper No. w10925
Number of pages: 37 Posted: 13 Dec 2004
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 156 (186,912)
Citation 169

Abstract:

Loading...

Premium for Heightened Uncertainty: Solving the FOMC Puzzle

Number of pages: 42 Posted: 02 Dec 2018 Last Revised: 03 Jul 2019
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 136 (212,219)
Citation 2

Abstract:

Loading...

FOMC, Pre-Announcement Drift, Heightened Uncertainty

Premium for Heightened Uncertainty: Solving the FOMC Puzzle

NBER Working Paper No. w25817
Number of pages: 43 Posted: 13 May 2019
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 6 (626,458)
  • Add to Cart

Abstract:

Loading...

Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002
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 78 (309,066)
Citation 85

Abstract:

Loading...

Dynamic Asset Allocation with Event Risk

Journal of Finance, Vol. 58, pp. 231-259, 2003
Posted: 04 Nov 2003
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...