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 - McDonough School of Business and Ecole Polytechnique Fédérale de Lausanne

Downloads 4,783 (3,878)

Citation 34

Abstract:

2.

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 2,599 (10,488)

Citation 166

Abstract:

3.

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 2,541 (10,846)

Citation 39

Abstract:

4.

Have Financial Markets Become More Informative?

Downloads 1,649 (21,483)

Citation 182

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 - McDonough School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

Downloads 1,517 (23,960)

Citation 1

Abstract:

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 132 (414,296)

Citation 38

Abstract:

5.

Measuring Liquidity Mismatch in the Banking Sector

Downloads 1,570 (23,142)

Citation 62

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 - McDonough School of Business, Northwestern University - Kellogg School of Management and Harvard University

Downloads 1,465 (25,229)

Citation 38

Abstract:

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

Arvind Krishnamurthy, Jennie Bai and Charles-Henri Weymuller

Stanford Graduate School of Business, Georgetown University - McDonough School of Business and Institut d'Etudes Politiques de Paris (Sciences Po)

Downloads 105 (493,689)

Citation 14

Abstract:

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 1,046 (41,888)

Citation 19

Abstract:

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, Baruch College - Zicklin School of Business - Department of Economics and Finance

Downloads 1,021 (43,352)

Citation 18

Abstract:

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 937 (48,842)

Citation 4

Abstract:

9.

Replication of BBW Factors with WRDS Data

Georgetown McDonough School of Business Research Paper No. 4476612

Number of pages: 27 Posted: 22 Jun 2023 Last Revised: 06 Nov 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 846 (56,210)

Citation 1

Abstract:

10.

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

Downloads 841 (56,683)

Citation 15

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

Downloads 788 (61,006)

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 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 53 (733,941)

Citation 9

Abstract:

11.

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 718 (69,910)

Citation 14

Abstract:

12.

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 604 (86,948)

Citation 10

Abstract:

13.

Carbon Emissions Trading and Environmental Protection: International Evidence

Downloads 577 (92,583)

Citation 4

2

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: 39 Posted: 18 Oct 2022 Last Revised: 14 Dec 2023

Jennie Bai and Hong Ru

Georgetown University - McDonough School of Business and Nanyang Business School, Nanyang Technological University

Downloads 566 (93,574)

Abstract:

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 11 (1,131,158)

Citation 4

Abstract:

14.

Is Human-Interaction-based Information Substitutable?

Downloads 546 (98,875)

Citation 2

2

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: 65 Posted: 11 May 2021 Last Revised: 18 Apr 2024

Jennie Bai and Massimo Massa

Georgetown University - McDonough School of Business and INSEAD - Finance

Downloads 442 (126,093)

Citation 1

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: 20 Feb 2023

Jennie Bai and Massimo Massa

Georgetown University - McDonough School of Business and INSEAD - Finance

Downloads 104 (497,268)

Citation 2

Abstract:

15.

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 - Columbia Business School, Finance and Washington University in St. Louis - John M. Olin Business School

Downloads 537 (100,947)

Abstract:

16.

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 - McDonough School of Business, Federal Reserve Bank of New York and The Stephen M. Ross School of Business at the University of Michigan

Downloads 507 (108,251)

Citation 7

Abstract:

17.

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 459 (121,908)

Citation 2

Abstract:

18.

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 - McDonough School of Business, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside

Downloads 380 (151,518)

Citation 9

Abstract:

19.

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 - Lee Kong Chian School of Business

Downloads 351 (165,351)

Abstract:

20.

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

Downloads 348 (166,913)

Citation 8

3

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 191 (302,356)

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 - McDonough School of Business and Columbia University - Columbia Business School, Finance

Downloads 102 (504,289)

Citation 1

Add to Cart

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 2023

Jennie Bai and Shang-Jin Wei

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

Downloads 55 (721,478)

Abstract:

21.

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 332 (175,622)

Citation 3

Abstract:

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 221 (265,002)

Citation 1

Abstract:

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 66 (647,496)

Citation 1

Abstract:

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 (1,201,879)

Add to Cart

Jennie Bai

Georgetown University - McDonough School of Business

National Bureau of Economic Research (NBER)

24

Top 2,780

23,479

Top 1,881

777

161

Scholarly Papers (24)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

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

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

Abstract: