Zhaogang Song
Zhaogang Song
The Johns Hopkins Carey Business School
Verified email at jhu.edu - Homepage
Title
Cited by
Cited by
Year
The value of trading relations in turbulent times
M Di Maggio, A Kermani, Z Song
Journal of Financial Economics 124 (2), 266-284, 2017
2182017
A tale of two option markets: Pricing kernels and volatility risk
Z Song, D Xiu
Journal of Econometrics 190 (1), 176-196, 2016
144*2016
Treasury inconvenience yields during the covid-19 crisis
Z He, S Nagel, Z Song
Journal of Financial Economics, 2021
812021
Quantitative easing auctions of Treasury bonds
Z Song, H Zhu
Journal of Financial Economics 128 (1), 103-124, 2018
62*2018
Tail risk concerns everywhere
GP Gao, X Lu, Z Song
Management Science, 2018
59*2018
Do hedge funds exploit rare disaster concerns?
GP Gao, P Gao, Z Song
The Review of Financial Studies 31 (7), 2650-2692, 2018
562018
Liquidity in a Market for Unique Assets: Specified Pool and To‐Be‐Announced Trading in the Mortgage‐Backed Securities Market
P GAO, P SCHULTZ, Z SONG
The Journal of Finance, 2017
342017
Determinants of the Managerial Equity Compensation in Chinese Stock Markets
Z Song
Research of Institutinal Economics 10 (12), 109-125, 2006
32*2006
Mortgage dollar roll
Z Song, H Zhu
The Review of Financial Studies 32 (8), 2955-2996, 2019
252019
Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market
P Schultz, Z Song
Journal of Financial Economics 133 (1), 113-133, 2019
202019
Disagreement Beta
G Gao, X Lu, Z Song, H Yan
20*2017
Commonality in credit spread changes: Dealer inventory and intermediary distress
Z He, P Khorrami, Z Song
National Bureau of Economic Research, 2019
192019
A martingale approach for testing diffusion models based on infinitesimal operator
Z Song
Journal of Econometrics 162 (2), 189-212, 2011
172011
Expected vix option returns
Z Song
142012
Dealers as Information Intermediaries in Over-the-Counter Market
W Li, Z Song
Available at SSRN 3351331, 2019
132019
Term Structure of Interest Rates with Short-Run and Long-Run Risks
OV Grishchenko, Z Song, H Zhou
122016
Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis
J Chen, H Liu, A Sarkar, Z Song
FRB of New York Staff Report, 2020
9*2020
Tail Risk in Fixed-Income Markets
H Li, Z Song
92015
Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading
W Li, Z Song
Market Fragmentation, and Quasi-Consolidated Trading (September 20, 2019), 2019
82019
Agency MBS as safe assets
Z He, Z Song
Working paper Johns Hopkins Carey Business School, 2019
82019
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Articles 1–20