Jennie Bai

Georgetown University - Department of Finance

3700 O Street, NW

Washington, DC 20057

United States

http://www.jenniebai.com

SCHOLARLY PAPERS

14

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8,194

CITATIONS
Rank 12,394

SSRN RANKINGS

Top 12,394

in Total Papers Citations

32

Scholarly Papers (14)

1.

The CDS-Bond Basis

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 20 Mar 2012 Last Revised: 19 Nov 2013
Jennie Bai and Pierre Collin-Dufresne
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 2,001 (5,677)
Citation 20

Abstract:

limit of arbitrage, basis, credit default swaps, counterparty risk, liquidity

2.
Downloads 1,065 ( 16,049)
Citation 1

Have Financial Markets Become More Informative?

Journal of Financial Economics (JFE), Vol. 122, No. 3, 2016
Number of pages: 70 Posted: 13 Nov 2012 Last Revised: 19 Feb 2017
Jennie Bai, Thomas Philippon and Alexi Savov
Georgetown University - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,028 (16,531)
Citation 1

Abstract:

price informativeness, economic growth, investment, revelatory price efficiency, forecasting price efficiency

Have Financial Markets Become More Informative?

NBER Working Paper No. w19728
Number of pages: 70 Posted: 29 May 2014
Jennie Bai, Thomas Philippon and Alexi Savov
Georgetown University - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 37 (383,717)
Citation 1

Abstract:

3.
Downloads 907 ( 20,389)
Citation 1

Measuring Liquidity Mismatch in the Banking Sector

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 22 Oct 2013 Last Revised: 19 Feb 2017
Georgetown University - Department of Finance, Northwestern University - Kellogg School of Management and Harvard University
Downloads 893 (20,453)
Citation 1

Abstract:

liquidity mismatch; liquidity regulation; market liquidity; funding liquidity; Basel III

Measuring Liquidity Mismatch in the Banking Sector

NBER Working Paper No. w22729
Number of pages: 66 Posted: 10 Oct 2016
Stanford Graduate School of Business, Georgetown University - Department of Finance and Sciences Po
Downloads 14 (502,588)
Citation 1
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Abstract:

4.

Equity Premium Predictions with Adaptive Macro Indexes

FRB of New York Staff Report No. 475
Number of pages: 47 Posted: 16 Oct 2010
Jennie Bai
Georgetown University - Department of Finance
Downloads 688 (25,808)
Citation 3

Abstract:

Adaptive Macro Index, Forecasting

5.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 13 Jan 2015
Jennie Bai and Liuren Wu
Georgetown University - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 258 (37,293)
Citation 3

Abstract:

structural model, firm fundamentals, credit default swap, cross-sectional variation, relative valuation

6.

On Bounding Credit-Event Risk Premia

AFA Conference
Number of pages: 48 Posted: 13 Nov 2012 Last Revised: 01 Mar 2015
Georgetown University - Department of Finance, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities and UC Riverside
Downloads 256 (100,320)

Abstract:

credit risk model, contagion

7.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 234 (40,326)

Abstract:

Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors

When is There a Strong Transfer Risk from the Sovereigns to the Corporates? -- Property Rights Gaps and CDS Spreads

CEPR Discussion Paper No. DP9252 , Columbia Business School Research Paper No. 14-12
Number of pages: 44 Posted: 03 Mar 2014
Jennie Bai and Shang-Jin Wei
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 119 (202,978)
Citation 1

Abstract:

sovereign risk; CDS; property rights institutions; contracting institutions; transfer risk

When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

CEPR Discussion Paper No. DP9252
Number of pages: 45 Posted: 01 Feb 2013
Jennie Bai and Shang-Jin Wei
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 102 (224,463)
Citation 1
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Abstract:

CDS, contracting institutions, property rights institutions, sovereign risk, transfer risk

When is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

NBER Working Paper No. w18600
Number of pages: 43 Posted: 28 Apr 2014
Jennie Bai and Shang-Jin Wei
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 7 (541,921)
Citation 1

Abstract:

9.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Credit Spreads

Georgetown McDonough School of Business Research Paper No. 2603022, Columbia Business School Research Paper No. 15-57, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 53 Posted: 07 May 2015 Last Revised: 31 Aug 2016
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 213 (20,231)

Abstract:

Chengtou bond, real estate, corruption, local government financing vehicle, government guarantee, systemic risk

10.

The Microstructure of China's Government Bond Market

FRB of New York Staff Report No. 622
Number of pages: 45 Posted: 04 Jun 2013 Last Revised: 14 Aug 2013
Georgetown University - Department of Finance, Federal Reserve Bank of New York and The Stephen M. Ross School of Business at the University of Michigan
Downloads 83 (133,281)

Abstract:

trading activity, market efficiency, announcements, interest rates

11.

Going Global: Markups and Product Quality in the Chinese Art Market

Georgetown McDonough School of Business Research Paper No. 2456843
Number of pages: 42 Posted: 22 Oct 2013 Last Revised: 06 Aug 2014
Jennie Bai, Jia Guo and Benjamin R. Mandel
Georgetown University - Department of Finance, Columbia University and Federal Reserve Bank of New York
Downloads 79 (262,978)

Abstract:

F14, G15

12.

The Leverage Effect and the Basket-Index Put Spread

Number of pages: 77 Posted: 28 May 2017 Last Revised: 11 Sep 2017
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - Department of Finance, University of Minnesota - Twin Cities and University of Connecticut - Department of Finance
Downloads 0 (271,149)

Abstract:

basket-index put spread, bank, leverage effect, financial crisis, bailout, option pricing

13.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 65 Posted: 03 Oct 2016 Last Revised: 29 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 0 (108,771)

Abstract:

corporate bond, risk factors, downside risk, credit risk, liquidity risk

14.

Safe Asset Shortages: Evidence from the European Government Bond Lending Market

Georgetown McDonough School of Business Research Paper No. 2692251
Number of pages: 57 Posted: 19 Nov 2015 Last Revised: 19 Aug 2017
Reena Aggarwal, Jennie Bai and Luc Laeven
Georgetown University - Robert Emmett McDonough School of Business, Georgetown University - Department of Finance and European Central Bank (ECB)
Downloads 0 (76,618)

Abstract:

safe asset, securities lending, velocity, European government bonds, collateral