Jennie Bai

Georgetown University - Department of Finance

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

  • Georgetown University - Department of Finance

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

17

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11,277

CITATIONS
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74

Scholarly Papers (17)

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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 - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 2,644 (4,429)
Citation 28

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

2.

The Funding Cost of Chinese Local Government Debt

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: 19 Jul 2018
Jennie Bai and Hao Zhou
Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 1,288 (14,544)
Citation 7

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

3.

Have Financial Markets Become More Informative?

Downloads 1,270 ( 14,833)
Citation 24

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 1,208 (15,745)

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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
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 62 (351,297)
Citation 41

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4.

Measuring Liquidity Mismatch in the Banking Sector

Downloads 1,108 ( 18,301)
Citation 18

Measuring Liquidity Mismatch in the Banking Sector

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 22 Oct 2013 Last Revised: 05 Nov 2017
Jennie Bai, Arvind Krishnamurthy and Charles-Henri Weymuller
Georgetown University - Department of Finance, Northwestern University - Kellogg School of Management and Harvard University
Downloads 1,086 (18,531)
Citation 18

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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
Arvind Krishnamurthy, Jennie Bai and Charles-Henri Weymuller
Stanford Graduate School of Business, Georgetown University - Department of Finance and Sciences Po
Downloads 22 (520,363)
Citation 9

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5.

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 - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 926 (23,852)
Citation 19

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

6.

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 806 (29,090)
Citation 4

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Adaptive Macro Index, Forecasting

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 - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 694 (35,667)
Citation 15

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

8.

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 686 (36,236)
Citation 9

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

9.

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

Georgetown McDonough School of Business Research Paper No. 2692251
Number of pages: 50 Posted: 19 Nov 2015 Last Revised: 17 Aug 2018
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 440 (64,082)
Citation 4

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

10.

On Bounding Credit-Event Risk Premia

AFA
Number of pages: 48 Posted: 13 Nov 2012 Last Revised: 23 Jul 2018
Jennie Bai, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Georgetown University - Department of Finance, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 297 (100,678)
Citation 6

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credit risk model, contagion

11.

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
Jennie Bai, Michael J. Fleming and Casidhe Horan
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 255 (118,326)
Citation 4

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trading activity, market efficiency, announcements, interest rates

12.

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

Downloads 245 (123,247)
Citation 4

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 - Department of Finance and Columbia Business School - Finance and Economics
Downloads 133 (213,554)

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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 - Department of Finance and Columbia Business School - Finance and Economics
Downloads 102 (260,153)
Citation 7
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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
Jennie Bai and Shang-Jin Wei
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 10 (598,824)

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13.

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 - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 210 (143,282)

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

14.

Cross-Asset Information Synergy in Mutual Fund Families

Georgetown McDonough School of Business Research Paper No. 3163135
Number of pages: 51 Posted: 02 May 2018 Last Revised: 06 Nov 2018
Jun Kyung Auh and Jennie Bai
Georgetown University - Department of Finance and Georgetown University - Department of Finance
Downloads 165 (178,269)
Citation 1

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

15.

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: 49 Posted: 22 Oct 2018 Last Revised: 07 Dec 2018
Jennie Bai, Robert S. Goldstein and Fan Yang
Georgetown University - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 104 (255,122)
Citation 2

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credit spread puzzle, structural models, tail risk

16.

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 100 (261,980)
Citation 1

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F14, G15

17.

In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market

Downloads 39 (423,166)

In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market

Georgetown McDonough School of Business Research Paper No. 3401231
Number of pages: 61 Posted: 21 Jun 2019 Last Revised: 15 Jul 2019
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 36 (445,338)

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corporate bonds, systematic risk, idiosyncratic volatility, risk factors

In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market

NBER Working Paper No. w25995
Number of pages: 62 Posted: 26 Jun 2019
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 3 (650,106)
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