Author Page for Jennie Bai

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

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Citation 34

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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 - Department of Finance and SUSTech Business School

Downloads 2,030 (11,064)

Citation 13

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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 - Department of Finance, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University

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Citation 67

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4.

Have Financial Markets Become More Informative?

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Citation 76

2

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 1,352 (20,382)

Citation 1

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Have Financial Markets Become More Informative?

NBER Working Paper No. w19728

Number of pages: 70 Posted: 29 May 2014 Last Revised: 29 May 2022

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 76 (433,111)

Citation 38

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5.

Measuring Liquidity Mismatch in the Banking Sector

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Citation 28

2

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 1,256 (22,784)

Citation 15

Abstract:

Measuring Liquidity Mismatch in the Banking Sector

NBER Working Paper No. w22729

Number of pages: 66 Posted: 10 Oct 2016 Last Revised: 10 Aug 2022

Arvind Krishnamurthy, Jennie Bai and Charles-Henri Weymuller

Stanford Graduate School of Business, Georgetown University - Department of Finance and Sciences Po

Downloads 37 (602,600)

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 - Department of Finance, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University

Downloads 893 (37,828)

Citation 19

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7.

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 872 (39,091)

Citation 4

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8.

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

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Citation 18

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9.

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 - Department of Finance and European Central Bank (ECB)

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Citation 4

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10.

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

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Citation 2

2

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 - Department of Finance, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University

Downloads 552 (70,244)

Citation 2

Abstract:

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 2022

Jennie Bai, Turan G. Bali and Quan Wen

Georgetown University - Department of Finance, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University

Downloads 17 (752,204)

Citation 1

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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 - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance

Downloads 403 (103,386)

Citation 10

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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

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 385 (109,056)

Citation 7

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13.

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 - Department of Finance

Downloads 365 (115,705)

Citation 2

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14.

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 333 (127,994)

Citation 9

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15.

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

Downloads 274 (156,571)

2

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

Georgetown McDonough School of Business Research Paper No. 3843782, 2021/75/FIN

Number of pages: 65 Posted: 11 May 2021 Last Revised: 15 Feb 2022

Jennie Bai and Massimo Massa

Georgetown University - Department of Finance and INSEAD - Finance

Downloads 219 (194,502)

Abstract:

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

NBER Working Paper No. w29513

Number of pages: 65 Posted: 29 Nov 2021 Last Revised: 21 Feb 2022

Jennie Bai and Massimo Massa

Georgetown University - Department of Finance and INSEAD - Finance

Downloads 55 (511,798)

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16.

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

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Citation 8

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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 University - Columbia Business School, Finance

Downloads 146 (277,180)

Citation 1

Abstract:

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 University - Columbia Business School, Finance

Downloads 102 (360,850)

Citation 1

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Abstract:

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 2022

Jennie Bai and Shang-Jin Wei

Georgetown University - Department of Finance and Columbia University - Columbia Business School, Finance

Downloads 16 (761,203)

Abstract:

17.

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 263 (163,273)

Citation 3

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18.

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: 46 Posted: 02 Oct 2020 Last Revised: 22 Nov 2021

Jennie Bai, Massimo Massa and Hong Zhang

Georgetown University - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance

Downloads 188 (223,708)

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19.

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 - Department of Finance, Columbia University and Federal Reserve Bank of New York

Downloads 155 (263,371)

Citation 1

Abstract:

20.

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 - Department of Finance

Downloads 27 (650,467)

Citation 1

Abstract:

21.

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 - Department of Finance and INSEAD - Finance

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Jennie Bai

Georgetown University - Department of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (21)

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

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Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

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