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Zhaogang Song, Ph.D. - Publications

Affiliations: 
2011 Cornell University, Ithaca, NY, United States 
Area:
General Economics, Finance
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14 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 He Z, Nagel S, Song Z. Treasury Inconvenience Yields during the COVID-19 Crisis National Bureau of Economic Research. DOI: 10.3386/W27416  0.348
2019 He Z, Khorrami P, Song Z. Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress National Bureau of Economic Research. DOI: 10.2139/Ssrn.3493297  0.341
2019 Song Z, Zhu H. Mortgage Dollar Roll Review of Financial Studies. 32: 2955-2996. DOI: 10.2139/Ssrn.2401319  0.342
2019 Gao GP, Lu X, Song Z. Tail Risk Concerns Everywhere Management Science. 65: 3111-3130. DOI: 10.1287/Mnsc.2017.2949  0.314
2019 Schultz P, Song Z. Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market Journal of Financial Economics. 133: 113-133. DOI: 10.1016/J.Jfineco.2019.01.007  0.365
2018 Gao GP, Gao P, Song Z. Do Hedge Funds Exploit Rare Disaster Concerns Review of Financial Studies. 31: 2650-2692. DOI: 10.2139/Ssrn.2273123  0.36
2018 Song Z, Zhu H. Quantitative easing auctions of Treasury bonds Journal of Financial Economics. 128: 103-124. DOI: 10.1016/J.Jfineco.2018.02.004  0.336
2017 Gao P, Schultz P, Song Z. Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage-Backed Securities Market: Liquidity in a Market for Unique Assets Journal of Finance. 72: 1119-1170. DOI: 10.1111/Jofi.12496  0.35
2017 Maggio MD, Kermani A, Song Z. The Value of Trading Relationships in Turbulent Times Journal of Financial Economics. 124: 266-284. DOI: 10.1016/J.Jfineco.2017.01.003  0.355
2016 Gao P, Schultz PH, Song Z. Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market Journal of Finance. 72: 1119-1170. DOI: 10.2139/Ssrn.2702542  0.358
2016 Grishchenko OV, Song Z, Zhou H. Term Structure of Interest Rates with Short-Run and Long-Run Risks Social Science Research Network. DOI: 10.2139/Ssrn.2663357  0.3
2016 Song Z, Xiu D. A tale of two option markets: Pricing kernels and volatility risk Journal of Econometrics. 190: 176-196. DOI: 10.17016/Feds.2014.58  0.376
2015 Bonaldi P, Hortacsu A, Song Z. An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve Social Science Research Network. DOI: 10.2139/Ssrn.2663394  0.363
2014 Song Z, Zhu H. QE Auctions of Treasury Bonds Social Science Research Network. 2014: 1-52. DOI: 10.2139/Ssrn.2756674  0.357
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