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   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

• "Pricing the Global Trade Vulnerability" (with Jiatao Liu), 2025. Presentation Slides.
  
  
• "The Pre-FOMC Drift and the Secular Decline in Long-Term Interest Rates" (with Qing Peng), 2025. Presentation Slides.
  
  
• "Top Government Meetings in China" (with Qing Peng), Management Science, R&R. Presentation Slides.
  
  
• "The Stock-Bond Correlation: A Tale of Two Days in the U.S. Treasury Market" (with Grace Xing Hu and Zhao Jin), 2025. Presentation Slides.
  • • The Wharton Research Data Services Best Paper Award, the 36th Asian Finance Association Annual Conference, 2024.
  • • The Best Paper Award, the 2025 Dishui Lake International Conference in Finance.
  
  
• "What Can Cross-Sectional Stocks Tell Us About Core Inflation Shocks?" (with Claire Yurong Hong, Jun Liu, and Shiwen Tian), 2025. Presentation Slides.
  
  
• "What Can Macro-Active Bond Funds Tell Us About Monetary Policy Changes?" (with Claire Yurong Hong and Shiwen Tian), Journal of Financial Economics, R&R .
  
  
• "The Government-Led Credit Cycle in China's LGFV Bonds and the Real Effects" (with Zhe Geng and Ziqi Liu), 2025.
  
  
• "Option-Implied Crash Index" (with Junxiong Gao), 2025. Presentation Slides.
  
  

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Publications

• 22. "Financial Inclusion via FinTech: From Digital Payments to Platform Investments" (with Claire Yurong Hong and Xiaomeng Lu), Management Science, forthcoming. Presentation Slides. Recorded Presenation.
  
  
• 21. "FinTech Platforms and Mutual Fund Distribution" (with Claire Yurong Hong and Xiaomeng Lu), Management Science, volume 71, pages 488-517, 2025. Presentation Slides.
  
  
• 20. "The SOE Premium and Government Support in China's Credit Market" (with Zhe Geng), Journal of Finance, volume 79, pages 3041-3103, 2024. Presentation Slides. Bloomberg Odd Lots Podcast. Recorded Presenation.
  
  
• 19. "Trading Options and CDS on Stocks with the Short Sale Ban" (with Sophie Ni), Journal of Banking & Finance, volume 167, 107243, 2024.
  
  
• 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" (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.