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Pengjie Gao

University of Notre Dame - Mendoza College of Business

Assistant Professor of Finance

246 Mendoza College of Business

Notre Dame, IN 46556-5646

United States

  • University of Notre Dame - Mendoza College of Business

    • Email
    • Tel: (574) 631-8048
SCHOLARLY PAPERS

25

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CITATIONS
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Top 3,013

in Total Papers Citations

183

Scholarly Papers (25)

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1.

Earnings Management and Executive Compensation: A Case of Overdose of Option and Underdose of Salary?

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 48 Posted: 22 Mar 2002
Ronald E. Shrieves and Pengjie Gao
University of Tennessee, Knoxville - Department of Finance and University of Notre Dame - Mendoza College of Business
Downloads 3,278 (1,948)
Citation 31

Abstract:

executive compensation, earnings management

2.

In Search of Attention

AFA 2010 Atlanta Meetings Paper
Number of pages: 45 Posted: 22 Mar 2009 Last Revised: 30 Oct 2014
Zhi Da, Joseph Engelberg and Pengjie Gao
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 2,058 (4,302)
Citation 50

Abstract:

attention, internet search, individual investor, IPO, price momentum

3.

An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity

Third Singapore International Conference on Finance 2009
Number of pages: 68 Posted: 22 Jan 2009 Last Revised: 20 Mar 2009
Joseph Engelberg, Pengjie Gao and Ravi Jagannathan
University of California, San Diego (UCSD) - Rady School of Management, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 1,841 (4,719)
Citation 7

Abstract:

Pairs Trading, News, Liquidity Shocks, Convergence Trade

4.

The Sum of All FEARS: Investor Sentiment and Asset Prices

Number of pages: 43 Posted: 13 Dec 2009 Last Revised: 07 Mar 2013
Zhi Da, Joseph Engelberg and Pengjie Gao
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 754 (20,257)
Citation 5

Abstract:

Investor Sentiment, Volatility, Fund Flow, Survey

5.

In Search of Fundamentals

AFA 2012 Chicago Meetings Paper
Number of pages: 36 Posted: 22 Apr 2010 Last Revised: 16 Mar 2011
Zhi Da, Joseph Engelberg and Pengjie Gao
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 672 (23,306)
Citation 2

Abstract:

Search Volume, Earnings Surprises, Revenue Surprises

6.

The Price of a CEO's Rolodex

Number of pages: 50 Posted: 21 Mar 2009 Last Revised: 30 May 2012
Joseph Engelberg, Pengjie Gao and Christopher A. Parsons
University of California, San Diego (UCSD) - Rady School of Management, University of Notre Dame - Mendoza College of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 617 (30,020)
Citation 14

Abstract:

Executive Compensation, Social Network

7.

Pre-Earnings Announcement Drift

Number of pages: 65 Posted: 15 Mar 2011
Peter D. Easton, George Gao and Pengjie Gao
University of Notre Dame - Department of Accountancy, T. Rowe Price and University of Notre Dame - Mendoza College of Business
Downloads 540 (28,330)
Citation 3

Abstract:

return predictability, earnings\, transaction costs

8.

Short Sales and the Weekend Effect - Evidence from a Natural Experiment

Journal of Financial Markets, Forthcoming
Number of pages: 35 Posted: 09 Oct 2006 Last Revised: 11 Jul 2012
Pengjie Gao, Jia Hao, Ivalina Kalcheva and Tongshu Ma
University of Notre Dame - Mendoza College of Business, CUHK Business School, The Chinese University of Hong Kong, University of California, Riverside and Binghamton University
Downloads 522 (37,465)

Abstract:

Short sale; Weekend effect; Hong Kong Stock Exchange

9.

The Global Relation between Financial Distress and Equity Returns

The Review of Financial Studies, Forthcoming
Number of pages: 86 Posted: 19 Jun 2012 Last Revised: 03 Jun 2017
Pengjie Gao, Christopher A. Parsons and Jianfeng Shen
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 490 (45,976)
Citation 1

Abstract:

financial distress, equity return, individualism, overconfidence

10.

Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks

AFA 2007 Chicago Meetings Paper
Number of pages: 58 Posted: 17 Mar 2006
Zhi Da and Pengjie Gao
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Mendoza College of Business
Downloads 487 (43,867)
Citation 21

Abstract:

Clientele, Liquidity, Default Risk, Stock Return

11.

Liquidity Backstop, Corporate Borrowings, and Real Effects

Number of pages: 52 Posted: 18 Jun 2009 Last Revised: 30 Jun 2012
Pengjie Gao and Hayong Yun
University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 451 (50,037)
Citation 5

Abstract:

public liquidity, commercial paper, real effects, financial crisis, transmission channel.

12.

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Downloads 398 ( 59,438)
Citation 12

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Number of pages: 56 Posted: 15 Nov 2007 Last Revised: 19 Dec 2008
Zhi Da, Pengjie Gao and Ravi Jagannathan
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 335 (72,218)
Citation 12

Abstract:

Informed Trading, Liquidity, Mutual Fund

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

NBER Working Paper No. w14609
Number of pages: 57 Posted: 29 Dec 2008
Zhi Da, Pengjie Gao and Ravi Jagannathan
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 63 (295,644)
Citation 12

Abstract:

13.

Do Hedge Funds Exploit Rare Disaster Concerns?

Number of pages: 87 Posted: 02 Jun 2013 Last Revised: 01 May 2017
George Gao, Pengjie Gao and Zhaogang Song
T. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads 343 (44,836)
Citation 1

Abstract:

Rare diaster concern, hedge fund, skill

14.

Friends with Money

Number of pages: 61 Posted: 17 Mar 2010
Joseph Engelberg, Pengjie Gao and Christopher A. Parsons
University of California, San Diego (UCSD) - Rady School of Management, University of Notre Dame - Mendoza College of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 332 (64,404)
Citation 16

Abstract:

social networks, lending relationships, credit ratings

15.

Cross-Market Timing in Security Issuance

AFA 2012 Chicago Meetings Paper
Number of pages: 50 Posted: 23 Mar 2011 Last Revised: 07 Mar 2013
Pengjie Gao and Dong Lou
University of Notre Dame - Mendoza College of Business and London School of Economics & Political Science (LSE)
Downloads 245 (80,200)
Citation 3

Abstract:

Debt misvaluation, Market timing, Security issuance, Flow-induced trading

16.

Short-Selling, Uptick Rule, and Market Quality: Evidence from High-Frequency Data on Hong Kong Stock Exchange

Number of pages: 43 Posted: 20 Nov 2010 Last Revised: 04 Mar 2011
Pengjie Gao, Jia Hao, Ivalina Kalcheva and Tongshu Ma
University of Notre Dame - Mendoza College of Business, CUHK Business School, The Chinese University of Hong Kong, University of California, Riverside and Binghamton University
Downloads 235 (94,889)
Citation 1

Abstract:

short-selling, uptick rule, market quality, liquidity, volatility

17.

Passive Shareholders as a Takeover Defense

Swiss Finance Institute Research Paper No. 10-56
Number of pages: 47 Posted: 02 Feb 2011 Last Revised: 16 Mar 2011
Andriy Bodnaruk, Pengjie Gao, Per Östberg and Hayong Yun
University of Illinois at Chicago, University of Notre Dame - Mendoza College of Business, University of Zurich - Department of Banking and Finance and Michigan State University - Department of Finance
Downloads 199 (110,866)
Citation 2

Abstract:

Mergers and Acquisitions, Ownership Structure and Corporate Governance

18.

Political Uncertainty and Public Financing Costs: Evidence from U.S. Gubernatorial Elections and Municipal Bond Market

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 61 Posted: 26 Jan 2012 Last Revised: 05 Nov 2014
Pengjie Gao and Yaxuan Qi
University of Notre Dame - Mendoza College of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 173 (71,063)
Citation 2

Abstract:

Political Uncertainty, Elections, Public Financing Costs, Municipal Bonds

19.

Clientele Change, Persistent Liquidity Shock, and Bond Return Reversals after Rating Downgrades

Number of pages: 47 Posted: 08 Oct 2008 Last Revised: 17 Mar 2009
Zhi Da and Pengjie Gao
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Mendoza College of Business
Downloads 115 (166,140)
Citation 3

Abstract:

liquidity shock, bond return reversal, clientele change

20.

Property Rights Protection, Information Acquisition, and Asset Prices: Theory and Evidence

Number of pages: 48 Posted: 15 Mar 2012 Last Revised: 27 Aug 2013
Elias Albagli, Pengjie Gao and Yongxiang Wang
Central Bank of Chile, University of Notre Dame - Mendoza College of Business and University of Southern California - Marshall School of Business
Downloads 102 (218,389)

Abstract:

Comovement, property rights protection, information acquisition

21.

Liquidity Backstop, Corporate Borrowings, and Real Effects

AFA 2013 San Diego Meetings Paper
Number of pages: 69 Posted: 16 Mar 2012 Last Revised: 14 Aug 2013
Pengjie Gao and Hayong Yun
University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 93 (191,530)
Citation 2

Abstract:

public liquidity, commercial paper, financial crisis, government intervention

22.

When Does a Mutual Fund&Apos;S Trade Reveal its Skill?

NBER Working Paper No. w13625
Number of pages: 52 Posted: 29 Nov 2007
Pengjie Gao, Zhi Da and Ravi Jagannathan
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 33 (375,368)
Citation 2

Abstract:

23.

Municipal Borrowing Costs and State Policies for Distressed Municipalities

Number of pages: 59 Posted: 30 Sep 2016 Last Revised: 20 May 2017
Pengjie Gao, Chang Lee and Dermot Murphy
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and University of Illinois at Chicago - Department of Finance
Downloads 0 (201,556)

Abstract:

Default Risk, Municipal Bonds, Government Policy, Risk Sharing

24.

What's in a (School) Name? Racial Discrimination in Higher Education Bond Markets

6th Miami Behavioral Finance Conference
Number of pages: 68 Posted: 05 Feb 2016 Last Revised: 30 Sep 2016
Casey Dougal, Pengjie Gao, William J. Mayew and Christopher A. Parsons
Drexel University, University of Notre Dame - Mendoza College of Business, Duke University - Fuqua School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (45,189)

Abstract:

Race discrimination, higher education, municipal finance

25.

Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market

Number of pages: 67 Posted: 13 Dec 2015 Last Revised: 03 Sep 2016
Pengjie Gao, Paul H. Schultz and Zhaogang Song
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 0 (147,176)

Abstract:

mortgage backed securities, OTC Market, Liquidity

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