Two studies co-authored by Professor Jun Pan, Professor of Finance and SAIF Chair Professor at the Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU), have won top honors at two of China's leading finance conferences: the XiYue Best Paper Award at the 2026 China International Conference in Finance (CICF) and the Asset Pricing Best Paper Award at the 2026 China Financial Research Conference (CFRC).
The first study develops a quantitative framework for measuring corporate trade vulnerability and shows how capital markets price supply-chain risk. The second derives a theoretically grounded set of risk factors for corporate bonds, spanning credit, duration, and liquidity risk. Together, the two papers offer new theoretical and empirical evidence on risk pricing and asset allocation.
XiYue Best Paper Award, 2026 CICF
Pricing the Global Trade Vulnerability
Co-author: Jiatao Liu, Xi'an Jiaotong-Liverpool University
Abstract
We document the emergence of a priced global trade risk factor amid heightened trade uncertainty. Using granular bill-of-lading data, we measure trade vulnerability by firm-level country exposure – firms with concentrated exposure to a small number of countries are more vulnerable to disruptions in global trade. Hypothesizing that the global trade vulnerability has emerged as a systematic risk, we estimate its market price by sorting stocks into portfolios with varying degrees of country concentration. Relative to low-concentration firms with diverse country exposure, high-concentration firms are riskier and earn a significantly higher risk premium, consistent with our hypothesis of a priced global trade risk factor. Triggered by the 2018 US-China tariff war and exacerbated by Covid-19 supply chain disruptions, concentrated exposure to China is a key driver of the estimated risk premium of high-concentration firms. Pushing beyond China, the broad-based Liberation Day tariffs hit the pricing of medium-concentration firms the hardest, reflecting the evolving nature of trade vulnerability.
Asset Pricing Best Paper Award, 2026 CFRC
Model-Based Cross-Section Factors in Corporate Bonds
Co-author: Zhe Geng, Assistant Professor of Finance, Fudan University School of Management
Abstract
Using a structural model of default with stochastic interest rates and liquidity shocks, we construct three common risk factors – credit, duration, and liquidity – from the cross-section of corporate bond returns. This theory-based three-factor model can explain the risk premiums of portfolios within the credit market and beyond, including U.S. equity and emerging sovereign bonds. Our estimation is unique in that the three latent factors are extracted not from bond characteristics but the model-implied factor loadings, offering a clean identification of the risk of credit, duration, and liquidity. As such, our model-based factors can be used to gauge and differentiate their relative importance and identify distinct episodes of flight-to-quality, flight-to-cash, and flight-to-liquidity. Moreover, our duration factor is used to decompose U.S. Treasury bond returns into duration risk and safety premium, differentiating flight-to-safety from flight-to-cash, while our liquidity factor sheds light on the post-regulation capacity of dealers' balance sheets and its asset-pricing implications. Finally, using our credit factor to predict the next-month liquidity factor, we document the prevalence of credit-driven liquidity risk in the corporate bond market.
About Professor Jun Pan
Dr. Jun Pan is a Professor of Finance and SAIF Chair Professor at the Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. Prior to joining SAIF, she was the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. Her research areas encompass Chinese financial markets, fintech, asset pricing, financial derivatives markets, credit risk models, financial crises, market liquidity, market microstructure, risk management, and fixed income markets. She has published more than 20 papers in leading international academic journals, including Econometrica, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics.
Professor Pan currently serves as Department Editor for Finance at Management Science and as an Associate Editor of the Journal of Finance. She previously served as Editor of the Review of Finance and as an Associate Editor of the Review of Financial Studies. She has been a Senior Research Fellow at the Asian Bureau of Finance and Economic Research (ABFER) since 2014 and joined its Executive Committee in June 2024. She has also served as a Research Associate at the National Bureau of Economic Research (NBER) and was named to Elsevier's list of "China's Most Cited Researchers" in each year from 2021 to 2025.
Professor Pan has received numerous academic honors, including the 2015 Stephen A. Ross Prize in Financial Economics, the 2021 CICF Best Paper Award, the 2024 WRDS Best Paper Award, and the 2026 CICF XiYue Best Paper Award.
Professor Pan obtained her Ph.D. in Physics from New York University in 1995 and her Ph.D. in Finance from Stanford University in 2000.
