Zhaogang Song

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 6,655

SSRN RANKINGS

Top 6,655

in Total Papers Downloads

8,359

SSRN CITATIONS
Rank 3,968

SSRN RANKINGS

Top 3,968

in Total Papers Citations

226

CROSSREF CITATIONS

120

Scholarly Papers (24)

1.

Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises

Number of pages: 44 Posted: 07 Jul 2020 Last Revised: 21 Aug 2021
Warrington College of Business, University of Florida, T. Rowe Price, University of Missouri, Columbia and Johns Hopkins University - Carey Business School
Downloads 1,539 (14,732)
Citation 4

Abstract:

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monetary policy, quantitative easing, disaster risk, COVID-19

2.

Mortgage Dollar Roll

Review of Financial Studies (Forthcoming)
Number of pages: 72 Posted: 27 Feb 2014 Last Revised: 05 Aug 2018
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 820 (37,114)
Citation 8

Abstract:

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MBS, Dollar Roll, TBA, Specialness

3.
Downloads 695 ( 46,460)
Citation 71

The Value of Trading Relationships in Turbulent Times

Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Number of pages: 54 Posted: 07 Jul 2015 Last Revised: 20 Jul 2016
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 676 (47,588)
Citation 7

Abstract:

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OTC markets, network, corporate bonds, crisis, intermediation chains, leaning against the wind

The Value of Trading Relationships in Turbulent Times

NBER Working Paper No. w22332
Number of pages: 52 Posted: 13 Jun 2016 Last Revised: 10 Jul 2021
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Downloads 19 (665,428)
Citation 43

Abstract:

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A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 584 (57,533)
Citation 21

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Multi-Factor Volatility Model, Pricing Kernel, Variance Swaps, VIX Options

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

FEDS Working Paper No. 2014-58
Number of pages: 44 Posted: 31 May 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 93 (344,380)
Citation 8

Abstract:

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Pricing kernel, volatility risk, VIX option, state-price density

5.

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 648 (50,950)
Citation 15

Abstract:

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Rare diaster concern, hedge fund, skill

6.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
George Gao, Xiaomeng Lu and Zhaogang Song
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 592 (57,254)
Citation 16

Abstract:

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Asset Class; Bond; Currency; Equity; Option; Tail Risk Concerns

7.
Downloads 591 ( 57,370)
Citation 7

QE Auctions of Treasury Bonds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 31 Mar 2016 Last Revised: 09 Mar 2017
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 373 (99,114)
Citation 4

Abstract:

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Auction, Federal Reserve, Quantitative Easing, Treasury Bond

QE Auctions of Treasury Bonds

FEDS Working Paper No. 2014-48
Number of pages: 55 Posted: 30 Jul 2014
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 218 (174,170)
Citation 4

Abstract:

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auction, quantitative easing, Federal Reserve, treasury bond, specialness

8.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
George Gao, Xiaomeng Lu, Zhaogang Song and Hongjun Yan
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 528 (66,049)
Citation 3

Abstract:

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Disagreement, heterogeneous beliefs, speculation, asset pricing

9.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Zhaogang Song
Johns Hopkins University - Carey Business School
Downloads 407 (90,363)
Citation 10

Abstract:

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return predictability, stochastic volatility-of-volatility, variance risk premium, VIX options, volatility tail risks

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74 Posted: 23 Sep 2015 Last Revised: 29 Jul 2017
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and SUSTech Business School
Downloads 332 (113,062)
Citation 3

Abstract:

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Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives

11.

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 301 (126,409)
Citation 6

Abstract:

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mortgage backed securities, OTC Market, Liquidity

Treasury Inconvenience Yields During the Covid-19 Crisis

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-79
Number of pages: 62 Posted: 23 Jun 2020
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 167 (221,723)

Abstract:

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D8, G2

Treasury Inconvenience Yields During the Covid-19 Crisis

NBER Working Paper No. w27416
Number of pages: 59 Posted: 22 Jun 2020 Last Revised: 27 Jun 2021
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 51 (478,846)
Citation 2

Abstract:

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13.

Dealers as Information Intermediaries in Over-the-Counter Markets

Number of pages: 29 Posted: 03 Apr 2019 Last Revised: 11 Sep 2021
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 202 (187,343)
Citation 6

Abstract:

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Dealer, Decentralization, Intermediation, Liquidity, OTC, Private Information, Trading

14.

Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market

Number of pages: 49 Posted: 31 Oct 2017 Last Revised: 05 May 2018
Paul Schultz and Zhaogang Song
University of Notre Dame and Johns Hopkins University - Carey Business School
Downloads 143 (251,877)
Citation 5

Abstract:

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mortgage backed securities, dealer networks, transparency, trade reporting

15.

Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementations?

Johns Hopkins Carey Business School Research Paper No. 20-05
Number of pages: 57 Posted: 07 Aug 2020 Last Revised: 03 May 2021
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 108 (309,773)
Citation 1

Abstract:

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Inventory, Market power, Monetary policy, MBS, Primary dealer

16.
Downloads 101 (324,050)
Citation 2

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 66 Posted: 20 Jul 2020 Last Revised: 06 Jul 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 64 (428,834)
Citation 2

Abstract:

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Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA

Asset Pricing with Cohort-Based Trading in MBS Markets

FRB of New York Staff Report No. 931, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 37 (545,424)
Citation 1

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

17.

Cohort Trading and Security Design: Theory and Evidence from Agency MBS Markets

Number of pages: 77 Posted: 21 Dec 2020 Last Revised: 14 Jun 2021
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 99 (330,408)
Citation 3

Abstract:

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Cohort trading, MBS, Security design, Specified pool, TBA.

18.

Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

FRB of New York Staff Report No. 933, Rev. May 2021
Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 24 May 2021
Jiakai Chen, Haoyang Liu, Asani Sarkar and Zhaogang Song
University of Hawaii, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 79 (379,997)

Abstract:

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arbitrage, cash, dealer, liquidity, MBS, specified pool, TBA

19.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 48 Posted: 14 Jul 2020 Last Revised: 17 Jul 2020
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 65 (423,208)
Citation 5

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Asset Heterogeneity, Corporate Bonds, Quasi-Consolidated Trading, TBA, MBS, Search

Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-136
Number of pages: 82 Posted: 26 Nov 2019
Zhiguo He, Paymon Khorrami and Zhaogang Song
University of Chicago - Finance, Imperial College Business School and Johns Hopkins University - Carey Business School
Downloads 62 (435,915)
Citation 1

Abstract:

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Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

NBER Working Paper No. w26494
Number of pages: 81 Posted: 27 Nov 2019
Zhiguo He, Paymon Khorrami and Zhaogang Song
University of Chicago - Finance, Imperial College Business School and Johns Hopkins University - Carey Business School
Downloads 2 (810,325)
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21.

Dealer Expertise and Market Concentration in OTC Trading

Number of pages: 48 Posted: 07 Jul 2020 Last Revised: 12 Apr 2021
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 63 (426,585)

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Dealer, Expertise, Private Information, OTC, Bilateral Trading, Network

22.

Shadow Bank and Fintech Mortgage Securitization

Johns Hopkins Carey Business School Research Paper No. 21-06
Number of pages: 52 Posted: 15 Jul 2021 Last Revised: 17 Aug 2021
Yu An, Lei Li and Zhaogang Song
Johns Hopkins Carey Business School, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 57 (448,008)

Abstract:

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Agency MBS, Bank, Fintech, Liquidity, Securitization, Shadow Bank

Defragmenting Markets: Evidence from Agency MBS

FRB of New York Staff Report No. 965
Number of pages: 53 Posted: 05 May 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 27 (605,905)

Abstract:

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MBS, TBA, Single Security Initiative, UMBS, liquidity

Defragmenting Markets: Evidence from Agency MBS

FRB of Philadelphia Working Paper No. 21-25
Number of pages: 53 Posted: 09 Jul 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 3 (799,553)

Abstract:

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24.

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