The Journal of Finance, a top international academic journal, has recently published the paper "The SOE Premium and Government Support in China's Credit Market" online. The paper is co-authored by Jun Pan—Professor of Finance, SAIF Chair Professor, and Chair of Faculty Council at the Shanghai Advanced Institute of Finance (SAIF)—and Zhe Geng, a young associate researcher at the School of Management, Fudan University.
The paper explores China's credit market using a structural default model that integrates credit risk, liquidity, and bailouts. The authors document improved price discovery and a deepening divide between state-owned enterprises (SOEs) and non-SOEs. They find that the presence of government bailouts helps alleviate heightened liquidity-driven default amidst liquidity deterioration, making SOE bonds more valuable and widening the SOE premium. The increased importance of government support makes SOEs more sensitive to bailout, while the heightened default risk increases non-SOEs' sensitivity to credit quality. The paper also examines the real impact, revealing severe performance deteriorations of non-SOEs relative to SOEs, reversing the long-standing trend of non-SOEs outperforming SOEs.
Dr. Jun Pan is a Professor of Finance and SAIF Chair Professor at the Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University. Before joining SAIF in 2019, Professor Pan held prestigious positions at renowned institutions, including the School of Management Distinguished Professor of Finance and Professor of Finance at the MIT Sloan School of Management. She was also a fellow at the National Institute of Economic Research in the United States.
Professor Pan's research fields encompass asset pricing, financial derivatives markets, credit risk models, financial crises, market liquidity, market microstructure, risk management, fixed-income markets, and China's financial market. She has published more than 20 high-level academic papers in prestigious international academic journals, including Econometrica, Journal of Finance, Review of Financial Studies, and Journal of Financial Economics. In 2022, Professor Pan was selected for Elsevier's list of "China's Most Cited Scholars."
Professor Pan serves as an editor at the Review of Finance and an associate editor at the Journal of Finance. In recognition of her outstanding research contributions, she received the SAIF Faculty Academic Research Award in 2022.
Professor Pan has received numerous awards and honors throughout her career, including the Luise Meyer-Schutzmeister Award for American Women in Science (1995), the Jaedicke Fellowship at Stanford Graduate School of Business (1996-1997), the Lieberman Fellowship at Stanford University (1998-1999), the Western Illinois University Alumni Achievement Award (2001), the First Prize in The Chicago Quantitative Alliance Annual Academic Competition (2003), and The Stephen A. Ross Prize in Financial Economics (2015).
