Jennie Bai

Georgetown University - McDonough School of Business

3700 O Street, NW

Washington, DC 20057

United States

http://www.jenniebai.com

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

24

DOWNLOADS
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Top 2,863

in Total Papers Downloads

20,552

SSRN CITATIONS
Rank 2,083

SSRN RANKINGS

Top 2,083

in Total Papers Citations

594

CROSSREF CITATIONS

159

Scholarly Papers (24)

1.

The CDS-Bond Basis

Georgetown McDonough School of Business Research Paper No. 2024531
Number of pages: 41 Posted: 20 Mar 2012 Last Revised: 21 Sep 2018
Jennie Bai and Pierre Collin-Dufresne
Georgetown University - McDonough School of Business and Ecole Polytechnique Fédérale de Lausanne
Downloads 4,503 (3,650)
Citation 34

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limit of arbitrage; basis; credit default swap; counterparty risk; liquidity

2.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost

Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48 Posted: 07 May 2015 Last Revised: 29 Jul 2019
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 2,337 (10,647)
Citation 27

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Chinese local government debt, real estate, political risk, government guarantee

3.

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

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 2,195 (11,770)
Citation 161

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

4.
Downloads 1,524 (20,794)
Citation 130

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 - McDonough School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,426 (22,605)
Citation 1

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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 Last Revised: 07 Dec 2022
Jennie Bai, Thomas Philippon and Alexi Savov
Georgetown University - McDonough School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 98 (446,986)
Citation 38

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5.
Downloads 1,438 (22,750)
Citation 51

Measuring Liquidity Mismatch in the Banking Sector

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 22 Oct 2013 Last Revised: 05 Nov 2017
Georgetown University - McDonough School of Business, Northwestern University - Kellogg School of Management and Harvard University
Downloads 1,363 (24,150)
Citation 32

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liquidity regulation; market liquidity; funding liquidity; Basel III; liquidity mismatch; macroprudential tool.

Measuring Liquidity Mismatch in the Banking Sector

NBER Working Paper No. w22729
Number of pages: 66 Posted: 10 Oct 2016 Last Revised: 08 Feb 2023
Stanford Graduate School of Business, Georgetown University - McDonough School of Business and Institut d'Etudes Politiques de Paris (Sciences Po)
Downloads 75 (528,874)
Citation 14

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6.

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 - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 1,003 (38,281)
Citation 19

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

7.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 5, 2016
Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 29 Jul 2018
Jennie Bai and Liuren Wu
Georgetown University - McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 959 (40,788)
Citation 18

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

8.

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 - McDonough School of Business
Downloads 907 (44,059)
Citation 4

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Adaptive Macro Index, Forecasting

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Journal of Financial Economics, Forthcoming, Georgetown McDonough School of Business Research Paper No. 3401231
Number of pages: 73 Posted: 21 Jun 2019 Last Revised: 27 Apr 2021
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 714 (60,097)
Citation 1

Abstract:

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corporate bonds, systematic risk, idiosyncratic volatility, risk-return tradeoff.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

NBER Working Paper No. w25995
Number of pages: 63 Posted: 26 Jun 2019 Last Revised: 13 Jul 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 33 (769,225)
Citation 12

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10.

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

Georgetown McDonough School of Business Research Paper No. 2692251, Journal of Financial and Quantitative Analysis
Number of pages: 53 Posted: 19 Nov 2015 Last Revised: 02 Oct 2020
Reena Aggarwal, Jennie Bai and Luc Laeven
Georgetown University - Robert Emmett McDonough School of Business, Georgetown University - McDonough School of Business and European Central Bank (ECB)
Downloads 646 (69,412)
Citation 13

Abstract:

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

11.

Is the Credit Spread Puzzle a Myth?

Georgetown McDonough School of Business Research Paper, University of Connecticut School of Business Research Paper No. 18-28
Number of pages: 67 Posted: 22 Oct 2018 Last Revised: 29 Oct 2020
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - McDonough School of Business, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 517 (91,822)
Citation 10

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credit spread puzzle, structural models, tail risk

12.

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 - McDonough School of Business, Federal Reserve Bank of New York and The Stephen M. Ross School of Business at the University of Michigan
Downloads 459 (105,737)
Citation 7

Abstract:

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trading activity, market efficiency, announcements, interest rates

13.

Replication of BBW Factors with WRDS Data

Number of pages: 27 Posted: 22 Jun 2023 Last Revised: 03 Jul 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 429 (114,450)

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WRDS bond database, corporate bonds, BBW factors

14.

Cross-Asset Information Synergy in Mutual Fund Families

Georgetown McDonough School of Business Research Paper No. 3163135
Number of pages: 52 Posted: 02 May 2018 Last Revised: 05 Nov 2020
Jun Kyung Auh, Jun Kyung Auh and Jennie Bai
Georgetown University - Department of FinanceYonsei University - School of Business and Georgetown University - McDonough School of Business
Downloads 411 (120,298)
Citation 2

Abstract:

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mutual fund families, equity fund, bond fund, information synergy

15.
Downloads 408 (121,318)
Citation 1

Is Human-Interaction-based Information Substitutable?

Georgetown McDonough School of Business Research Paper No. 3843782, INSEAD Working Paper No. 2023/30/FIN
Number of pages: 62 Posted: 11 May 2021 Last Revised: 22 Jun 2023
Jennie Bai and Massimo Massa
Georgetown University - McDonough School of Business and INSEAD - Finance
Downloads 329 (152,917)

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Information substitutability, human interactions, synchronous interactions, asynchronous interactions, COVID-19, proximity investment, mutual funds

Is Human-Interaction-Based Information Substitutable? Evidence from Lockdown

NBER Working Paper No. w29513
Number of pages: 65 Posted: 29 Nov 2021 Last Revised: 20 Feb 2023
Jennie Bai and Massimo Massa
Georgetown University - McDonough School of Business and INSEAD - Finance
Downloads 79 (512,695)
Citation 1

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16.

On Bounding Credit-Event Risk Premia

AFA
Number of pages: 48 Posted: 13 Nov 2012 Last Revised: 23 Jul 2018
Georgetown University - McDonough School of Business, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 358 (140,605)
Citation 9

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credit risk model, contagion

Carbon Emissions Trading and Environmental Protection: International Evidence

Nanyang Business School Research Paper No. 22-25, Georgetown McDonough School of Business Research Paper No. 4241378
Number of pages: 40 Posted: 18 Oct 2022 Last Revised: 29 Sep 2023
Jennie Bai and Hong Ru
Georgetown University - McDonough School of Business and Nanyang Business School, Nanyang Technological University
Downloads 313 (161,278)

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Emission Trading System, Greenhouse Gas, Renewable Energy, Climate Policy

Carbon Emissions Trading and Environmental Protection: International Evidence

NBER Working Paper No. w30587
Number of pages: 23 Posted: 26 Oct 2022 Last Revised: 14 Apr 2023
Jennie Bai and Hong Ru
Georgetown University - McDonough School of Business and Nanyang Business School, Nanyang Technological University
Downloads 7 (1,015,882)
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18.

The Value of Data to Fixed Income Investors

Georgetown McDonough School of Business Research Paper No. 4343095
Number of pages: 30 Posted: 31 Jan 2023
Jennie Bai, Jian Li and Asaf Manela
Georgetown University - McDonough School of Business, Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 299 (170,355)

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value of data, information, fixed income, corporate bond, institutional investor

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: 36 Posted: 03 Mar 2014 Last Revised: 19 Jul 2018
Jennie Bai and Shang-Jin Wei
Georgetown University - McDonough School of Business and Columbia University - Columbia Business School, Finance
Downloads 166 (297,313)
Citation 1

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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 - McDonough School of Business and Columbia University - Columbia Business School, Finance
Downloads 102 (434,750)
Citation 1
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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 Last Revised: 29 Apr 2023
Jennie Bai and Shang-Jin Wei
Georgetown University - McDonough School of Business and Columbia University - Columbia Business School, Finance
Downloads 30 (793,703)

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20.

The Leverage Effect and the Basket-Index Put Spread

Journal of Financial Economics (JFE), 2018
Number of pages: 63 Posted: 28 May 2017 Last Revised: 19 Jul 2018
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - McDonough School of Business, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 297 (171,585)
Citation 3

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

21.

Securities Lending and Corporate Financing: Evidence from Bond Issuance

Georgetown McDonough School of Business Research Paper No. 3695947, PBCSF-NIFR Research Paper
Number of pages: 51 Posted: 02 Oct 2020 Last Revised: 14 Oct 2022
Jennie Bai, Massimo Massa and Hong Zhang
Georgetown University - McDonough School of Business, INSEAD - Finance and Singapore Management University, LKCSB
Downloads 276 (185,101)

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securities lending, institutional investors, cost of capital, bond issuance, bond pricing, insurance companies

22.

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: 26 Feb 2020
Jennie Bai, Jia Guo and Benjamin R. Mandel
Georgetown University - McDonough School of Business, Columbia University and Federal Reserve Bank of New York
Downloads 180 (277,179)
Citation 1

Abstract:

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F14, G15

23.

Cross-Asset Information Synergy in Mutual Fund Families

NBER Working Paper No. w26626
Number of pages: 56 Posted: 06 Jan 2020 Last Revised: 03 Apr 2022
Jun Kyung Auh and Jennie Bai
Yonsei University - School of Business and Georgetown University - McDonough School of Business
Downloads 41 (693,097)
Citation 1

Abstract:

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24.

Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

CEPR Discussion Paper No. DP15744
Number of pages: 35 Posted: 11 Feb 2021
Jennie Bai and Massimo Massa
Georgetown University - McDonough School of Business and INSEAD - Finance
Downloads 0 (1,032,298)
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