Jun Pan
SAIF Chair Professor, Professor of Finance
Shanghai Advanced Institute of Finance
Shanghai Jiao Tong University

211 West Huaihai Road Room 804 Shanghai, China junpan@saif.sjtu.edu.cn CV   Twitter  Google Scholar

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Teaching and Data

• Data Bank: Chinese Capital Markets.
  
  
• PhD Teaching: Empirical Asset Pricing, Fall 2020; Fall 2019.
  
  
• MBA and MF Teaching: Financial Markets, Spring 2021; Fall 2020 ; Spring 2020; Spring 2019; MIT Sloan.
  
  

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Working Papers

• "The Stock-Bond Correlation: A Tale of Two Days in the Treasury Bond Market" (with Grace Xing Hu and Zhao Jin), 2024. Previously circulated under "Comovements in Global Markets and the Role of U.S. Treasury."
  
  
• "The Pre-FOMC Drift and the Secular Decline in Long-Term Interest Rates" (with Qing Peng), 2024.
  
  
• "The Pre-Announcement Drift in China: Government Meetings and Macro Announcements" (with Qing Peng), 2024. Presentation Slides.
  
  
• "What Can Macro-Active Bond Funds Tell Us About Monetary Policy Changes?" (with Claire Yurong Hong and Shiwen Tian), 2023. Previously circulated under "Macro-Active Bond Mutual Funds."
  
  
• "Financial Inclusion via FinTech: From Digital Payments to Platform Investments" (with Claire Yurong Hong and Xiaomeng Lu), 2023. Presentation Slides. Recorded Presenation. Previously circulated under "FinTech Adoption and Household Risk-Taking."
  
  
• "Option-Implied Crash Index" (with Junxiong Gao), 2023. Presentation Slides.
  
  
• "Inflation Forecasting From Cross-Sectional Stocks" (with Claire Yurong Hong and Shiwen Tian), 2023. Presentation Slides. NBER SI 2023.
  
  
• "Trading Puts and CDS on Stocks with Short Sale Ban" (with Sophie Ni), 2011.
  
  

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Publications

• 20. "The SOE Premium and Government Support in China's Credit Market" (with Zhe Geng), Journal of Finance, forthcoming. Previously circulated under "Price Discovery and Market Segmentation in China's Credit Market." Presentation Slides. Bloomberg Odd Lots Podcast. Recorded Presenation.
  
  
• 19. "FinTech Platforms and Mutual Fund Distribution" (with Claire Yurong Hong and Xiaomeng Lu), Management Science, forthcoming. Previously circulated under "The Economic Impact of Distributing Financial Products on Third-Party Online Platforms." Presentation Slides.
  
  
• 18. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns" (with Xing Hu, Jiang Wang, and Haoxiang Zhu), Journal of Financial Economics, volume 145, pages 909-936, 2022. Presentation Slides.
  
  
• 17. "Chinese Capital Market: An Empirical Overview" (with Xing Hu and Jiang Wang), Critical Finance Review, volume 10, pages 125-206, 2021.
  
  
• 16. "Tri-Party Repo Pricing" (with Xing Hu and Jiang Wang), Journal of Financial and Quantitative Analysis, volume 56, pages 337-371, 2021.
  
  
• 15. "Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure" (with Xing Hu and Jiang Wang), Journal of Financial Economics, volume 126, pages 399-421, 2017.
  
  
• 14. "Bond Illiquidity and Excess Volatility" (Previously, "Excess Volatility of Corporate Bonds") (with Jack Bao), Review of Financial Studies, volume 26, pages 3068-3103, 2013.
  
  

• 13. "Noise as Information for Illiquidity" (with Xing Hu and Jiang Wang), Journal of Finance, volume 68, pages 2223-2772, 2013. Presentation Slides. Download the Noise Measure (updated to end-2023).

  
  
• 12. "The Illiquidity of Corporate Bonds" (with Jack Bao and Jiang Wang), Journal of Finance, volume 66, pages 911--946, 2011.
  
  
• 11. "How Sovereign is Sovereign Credit Risk?" (with Francis Longstaff, Kenneth Singleton and Lasse H Pedersen), American Economic Journal: Macroeconomics, volume 3, pages 75--103, 2011.
  
  
• 10. "Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads" (with Kenneth Singleton), Journal of Finance, volume 63, pages 2345--2384, 2008.
  
  
• 9. "Volatility Information Trading in the Option Market" (With Sophie Ni and Allen Poteshman), Journal of Finance, volume 63, pages 1059--1091, 2008.
  
  
• 8. "The Information in Option Volume for Future Stock Prices" (with Allen Poteshman), Review of Financial Studies, volume 19, pages 871--908, 2006. The New York Times Coverage 8/13/06.
  
  
• 7. "An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks" (with Jun Liu and Tan Wang), Review of Financial Studies, volume 18, pages 131--164, 2005. Presentation Slides.
  
  
• 6. "Dynamic Derivative Strategies" (with Jun Liu), Journal of Financial Economics, volume 69, pages 401--430, 2003.
  
  
• 5. "Dynamic Asset Allocation with Event Risk" (with Jun Liu and Francis Longstaff), Journal of Finance, volume 58, pages 231--259, 2003.
  
  
• 4. "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study" Journal of Financial Economics, volume 63, pages 3--50, 2002. Presentation Slides.
  
  
• 3. "Analytical Value-At-Risk with Jumps and Credit Risk" (with Darrell Duffie), Finance and Stochastics, Volume 5, pages 155--180, 2001.
  
  
• 2. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions" (with Darrell Duffie and Kenneth Singleton), Econometrica, Volume 68, pages 1343--1376, 2000.Presentation Slides.
  
  
• 1. "An Overview of Value at Risk" (with Darrell Duffie), Journal of Derivatives, Spring 1997, 7-49, reprinted in Options Markets, edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar, 2001.