Pengjie Gao

University of Notre Dame - Mendoza College of Business

Professor of Finance

246 Mendoza College of Business

Notre Dame, IN 46556-5646

United States

http://​sites.google.com/site/gpengjie/

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 1,262

SSRN RANKINGS

Top 1,262

in Total Papers Downloads

22,463

SSRN CITATIONS
Rank 3,374

SSRN RANKINGS

Top 3,374

in Total Papers Citations

209

CROSSREF CITATIONS

116

Scholarly Papers (29)

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 3,914 (2,408)
Citation 57

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 2,587 (4,881)
Citation 132

Abstract:

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

3.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 15 May 2018 Last Revised: 29 Aug 2019
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 2,542 (5,036)
Citation 2

Abstract:

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media, monitoring, public financing, municipal bonds

4.

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 2,511 (5,150)
Citation 8

Abstract:

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Pairs Trading, News, Liquidity Shocks, Convergence Trade

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 1,052 (20,730)
Citation 26

Abstract:

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Investor Sentiment, Volatility, Fund Flow, Survey

6.

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 992 (22,620)
Citation 3

Abstract:

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Race discrimination, higher education, municipal finance

7.

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 945 (24,288)
Citation 15

Abstract:

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Search Volume, Earnings Surprises, Revenue Surprises

8.

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 888 (26,571)
Citation 7

Abstract:

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return predictability, earnings\, transaction costs

9.

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 721 (35,502)
Citation 21

Abstract:

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Executive Compensation, Social Network

10.

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

Number of pages: 62 Posted: 26 Jan 2012 Last Revised: 11 Feb 2019
Pengjie Gao, Dermot Murphy and Yaxuan Qi
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 650 (40,827)
Citation 18

Abstract:

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Political Uncertainty, Elections, Public Financing Costs, Municipal Bonds

11.

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 627 (42,947)
Citation 5

Abstract:

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financial distress, equity return, individualism, overconfidence

12.

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 621 (43,392)
Citation 6

Abstract:

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Rare diaster concern, hedge fund, skill

13.

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, Babson College, University of California, Riverside and Binghamton University
Downloads 605 (44,930)

Abstract:

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Short sale; Weekend effect; Hong Kong Stock Exchange

14.

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 513 (55,443)
Citation 19

Abstract:

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Clientele, Liquidity, Default Risk, Stock Return

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 463 (63,029)
Citation 5

Abstract:

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

16.

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 421 (70,760)
Citation 13

Abstract:

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social networks, lending relationships, credit ratings

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 348 (87,666)
Citation 4

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 69 (345,934)

Abstract:

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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 351 (87,479)
Citation 3

Abstract:

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

19.

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 307 (101,428)
Citation 4

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Default Risk, Municipal Bonds, Government Policy, Risk Sharing

20.

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, Babson College, University of California, Riverside and Binghamton University
Downloads 286 (109,557)
Citation 1

Abstract:

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

21.

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 255 (123,682)
Citation 4

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Mergers and Acquisitions, Ownership Structure and Corporate Governance

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 242 (130,388)
Citation 5

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 173 (178,527)
Citation 7

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 144 (208,431)
Citation 5

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 114 (249,395)

Abstract:

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Comovement, property rights protection, information acquisition

26.

Tax Risk and Asset Prices: Evidence from Dual-class Corporate Bonds in the Early 19th Century

Number of pages: 72 Posted: 03 May 2019 Last Revised: 25 May 2019
University of Delaware, Rutgers Business School, Newark and New Brunswick and University of Notre Dame - Mendoza College of Business
Downloads 48 (406,818)

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Tax, Tax risk, Asset prices, Cross-section of returns

27.

When Does a Mutual Fund's Trade Reveal its Skill?

NBER Working Paper No. w13625
Number of pages: 52 Posted: 29 Nov 2007 Last Revised: 25 Sep 2010
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 40 (437,251)
Citation 1

Abstract:

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28.

Good for your Fiscal Health? The Effect of the Affordable Care Act on Healthcare Borrowing Costs

Number of pages: 52 Posted: 30 Sep 2019 Last Revised: 20 Nov 2019
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 34 (462,767)

Abstract:

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public finance, health economics, municipal bonds, Affordable Care Act, Medicaid

29.

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