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

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 1,346

in Total Papers Downloads

19,690

CITATIONS
Rank 3,090

SSRN RANKINGS

Top 3,090

in Total Papers Citations

178

Scholarly Papers (27)

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 3,817 (2,096)
Citation 30

Abstract:

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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 2,473 (4,457)
Citation 49

Abstract:

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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
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 2,349 (4,904)
Citation 7

Abstract:

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Pairs Trading, News, Liquidity Shocks, Convergence Trade

4.

Financing Dies in Darkness? The Impact of Newspaper Closures on Public Finance

Number of pages: 59 Posted: 15 May 2018 Last Revised: 18 Aug 2018
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 1,394 (12,233)

Abstract:

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media, monitoring, public financing, municipal bonds

5.

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 989 (19,815)
Citation 5

Abstract:

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Investor Sentiment, Volatility, Fund Flow, Survey

6.

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 866 (24,046)
Citation 2

Abstract:

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Search Volume, Earnings Surprises, Revenue Surprises

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 778 (28,296)
Citation 2

Abstract:

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return predictability, earnings\, transaction costs

8.

The Price of a CEO's Rolodex

Number of pages: 50 Posted: 21 Mar 2009 Last Revised: 30 May 2012
University of California, San Diego (UCSD) - Rady School of Management, University of Notre Dame - Mendoza College of Business and Foster School of Business, University of Washington
Downloads 699 (32,416)
Citation 14

Abstract:

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Executive Compensation, Social Network

9.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 05 Feb 2016 Last Revised: 27 Jun 2018
Drexel University, University of Notre Dame - Mendoza College of Business, Duke University - Fuqua School of Business and Foster School of Business, University of Washington
Downloads 609 (40,714)

Abstract:

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Race discrimination, higher education, municipal finance

10.

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 590 (40,714)

Abstract:

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Rare diaster concern, hedge fund, skill

11.

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 589 (40,714)

Abstract:

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Short sale; Weekend effect; Hong Kong Stock Exchange

12.

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
University of Notre Dame - Mendoza College of Business, Foster School of Business, University of Washington and UNSW Australia Business School, School of Banking and Finance
Downloads 588 (41,274)
Citation 1

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financial distress, equity return, individualism, overconfidence

13.

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 511 (48,834)
Citation 21

Abstract:

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Clientele, Liquidity, Default Risk, Stock Return

14.

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 461 (55,793)
Citation 2

Abstract:

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Political Uncertainty, Elections, Public Financing Costs, Municipal Bonds

15.

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 459 (55,938)
Citation 4

Abstract:

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

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 342 (78,782)
Citation 12

Abstract:

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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 Last Revised: 28 Jan 2009
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 68 (311,597)
Citation 12

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17.

Friends with Money

Number of pages: 61 Posted: 17 Mar 2010
University of California, San Diego (UCSD) - Rady School of Management, University of Notre Dame - Mendoza College of Business and Foster School of Business, University of Washington
Downloads 404 (65,351)
Citation 16

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social networks, lending relationships, credit ratings

18.

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 334 (82,399)
Citation 3

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

19.

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 273 (101,893)
Citation 1

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

20.

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
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 244 (114,428)
Citation 2

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Mergers and Acquisitions, Ownership Structure and Corporate Governance

21.

Municipal Borrowing Costs and State Policies for Distressed Municipalities

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 30 Sep 2016 Last Revised: 11 Jul 2018
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 216 (130,370)

Abstract:

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Default Risk, Municipal Bonds, Government Policy, Risk Sharing

22.

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 205 (136,384)

Abstract:

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mortgage backed securities, OTC Market, Liquidity

23.

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 157 (172,566)
Citation 3

Abstract:

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liquidity shock, bond return reversal, clientele change

24.

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 130 (201,288)
Citation 2

Abstract:

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public liquidity, commercial paper, financial crisis, government intervention

25.

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
University of Southern California - Marshall School of Business, University of Notre Dame - Mendoza College of Business and University of Southern California - Marshall School of Business
Downloads 107 (232,627)

Abstract:

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Comovement, property rights protection, information acquisition

26.

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 38 (402,627)
Citation 2

Abstract:

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27.

Trading Methods and Trading Costs for Agency Mortgage Backed Securities

Journal of Investment Management, Forthcoming
Posted: 16 Jun 2018
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

Abstract:

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MBS; Trading; Transaction Costs