Jun Pan

Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)

Assistant Professor of Finance

77 Massachusetts Avenue

Cambridge, MA 02139-4307

United States

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

16

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9,689

CITATIONS
Rank 429

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Top 429

in Total Papers Citations

1,071

Scholarly Papers (16)

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business
Downloads 1,843 (5,917)
Citation 419

Abstract:

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105
Number of pages: 45 Posted: 11 Jun 2000
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business
Downloads 99 (216,749)
Citation 419

Abstract:

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
Board of Governors of the Federal Reserve System, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,360 (8,784)
Citation 55

Abstract:

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 1,250 (10,896)
Citation 112

Abstract:

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 954 (16,672)
Citation 58

Abstract:

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
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 856 (20,262)
Citation 17

Abstract:

6.
Downloads 622 ( 32,520)
Citation 23

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 622 (32,024)
Citation 23

Abstract:

options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

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
Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 422 (50,367)
Citation 9

Abstract:

8.

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 327 (69,818)
Citation 82

Abstract:

9.

Stochastic Volatility with Reset at Jumps

Number of pages: 26 Posted: 27 Oct 1998
Jun Pan
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 307 (76,378)
Citation 3

Abstract:

10.
Downloads 284 ( 84,589)
Citation 23

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
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 257 (93,741)
Citation 23

Abstract:

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
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 27 (405,900)
Citation 23

Abstract:

11.
Downloads 218 (111,518)

Tri-Party Repo Pricing

Number of pages: 60 Posted: 30 Nov 2014 Last Revised: 10 Aug 2015
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 195 (123,931)

Abstract:

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
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 23 (427,103)
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Abstract:

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
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 218 (74,296)

Abstract:

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

13.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. W13658
Number of pages: 43 Posted: 19 Dec 2007
University of California, Los Angeles (UCLA) - Finance Area, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 169 (133,799)
Citation 75

Abstract:

14.

Trading Puts and CDS on Stocks with Short Sale Ban

Number of pages: 30 Posted: 04 Aug 2010 Last Revised: 23 Oct 2016
Sophie X. Ni and Jun Pan
Hong Kong University of Science and Technology and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 139 (125,357)
Citation 10

Abstract:

Short Sale, Options, CDS, Derivatives, Infomation

15.

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 108 (180,648)
Citation 104

Abstract:

16.
Downloads 71 (264,661)
Citation 79

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, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 71 (267,477)
Citation 79

Abstract:

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, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract: