• PAN, Jun

    Professor of Finance, SAIF Chair Professor

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  • Support Staff:

    Lillian Jin

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  • Research Interests

    Empirical Asset Pricing, Financial Derivatives Market, Credit Risk Model, Financial Crises, Market Liquidity, Market Microstructure, Risk Management, Fixed-Income Markets and Chinese Financial Markets.

Jun Pan is currently a Professor of Finance and SAIF Chair Professor at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. She is an editor at the Review of Finance and an associate editor at the Journal of Finance. Prior to joining SAIF in 2019, Jun was the School of Management Distinguished Professor of Finance and Professor of Finance at MIT Sloan School of Management. Jun has a B.S. degree in Physics from Shanghai Jiao Tong University, a Ph.D. in Physics from New York University, and a Ph.D. in Finance from Stanford University.

Journal Publications

1. Hong, Claire Yurong, Xiaomeng Lu, and Jun Pan, Forthcoming, FinTech Platforms and Mutual Fund Distribution, Management Science.

2. Geng, Zhe and Jun Pan, Forthcoming, The SOE Premium and Government Support inChina's Credit Market, Journal of Finance.

3. Hu, Grace Xing, Jun Pan, Jiang Wang, Haoxiang Zhu, 2022, Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns, Journal of Financial Economics.

4. Hu, Grace Xing, Jun Pan, and Jiang Wang, 2021, Tri-Party Repo Pricing, Journal of Financial and Quantitative Analysis.

5. Grace Xing Hu, Jun Pan, Jiang Wang, 2021, Chinese Capital Market: An Empirical Overview, Critical Finance Review.

6. Hu, Grace Xing, Jun Pan, and Jiang Wang, 2017, Early peek advantage? Efficient price discovery with tiered information disclosure, Journal of Financial Economics.

7. Hu, Grace Xing, Jun Pan, and Jiang Wang, 2013, Noise as Information for Illiquidity, Journal of Finance.

8. Bao, Jack, and Jun Pan, 2013, Bond Illiquidity and Excess Volatility, Review of Financial Studies.

9. Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics.

10. Bao, Jack, Jun Pan, and Jiang Wang, 2011, The Illiquidity of Corporate Bonds, Journal of Finance.

11. Pan, Jun, and Kenneth J Singleton, 2008, Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, Journal of Finance.

12. Ni, Sophie, Jun Pan, and Allen Poteshman, 2008, Volatility Information Trading in the Option Market, Journal of Finance.

13. Pan, Jun, and Allen Poteshman, 2006, The Information in Option Volume for Future Stock Prices, Review of Financial Studies.

14. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.

15. Pan, Jun, 2003, [Iterative and Recursive Estimation in Structural Nonadaptive Models]: Comment, Journal of Business and Economic Statistics.

16. Pan, Jun, 2003, The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, Journal of Financial Economics.

17. Jun Liu, Francis A. Longstaff, Jun Pan, 2003, Dynamic Asset Allocation with Event Risk, Journal of Finance.

18. Liu, Jun, and Jun Pan, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.

19. Duffie, Darrell, and Jun Pan, 2001, An Overview of Value at Risk, Journal of Derivatives.

20. Duffie, Darrell, Jun Pan, and Kenneth Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica.

Working Papers

1. Claire Yurong Hong, Jun Pan, and Shiwen Tian, 2021, Macro-Active Bond Mutual Funds.

2. Claire Yurong Hong, Xiaomeng Lu, and Jun Pan, 2021, FinTech Adoption and Household Risk-Taking.

3. Xing Hu, Jun Pan, Jiang Wang, and Haoxiang Zhu, 2021, Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns.

4. Hong, Claire Yurong, Xiaomeng Lu, and Jun Pan, 2020, FinTech Platforms and Mutual Fund Distribution.

5. Geng, Zhe and Jun Pan, 2019, Price Discovery and Market Segmentation in China's Credit Market.

6. Ni, Sophie Xiaoyan and Jun Pan, 2011, Trading Puts and CDS on Stocks with Short Sale Ban.