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.
  
  
• Non-Academic Presentations:
  
•  Financing China's Economic Future: Challenge and Opportunity (2021 BofA China Conference)
  
•  Finance for Financial Journalists (SAIF 2021)
  
•  US and China Markets During March 2020 (FSB 2021)
  


• PhD Students on Academic Job Market:
  
•   Zhe Geng Job-Market Paper: "Foreign Discount in International Corporate Bonds."

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Working Papers

• "FinTech Platforms and Mutual Fund Distribution" (with Claire Yurong Hong and Xiaomeng Lu), 2022. Previously circulated under "The Economic Impact of Distributing Financial Products on Third-Party Online Platforms." Presentation Slides.
  
  
• "Macro-Active Bond Mutual Funds" (with Claire Yurong Hong and Shiwen Tian), 2021.
  
  
• "The SOE Premium and Government Support in China's Credit Market" (with Zhe Geng), 2021. R&R, Journal of Finance. Previously circulated under "Price Discovery and Market Segmentation in China's Credit Market." Presentation Slides. Bloomberg Odd Lots Podcast. Recorded Presenation.
  
  
• "FinTech Adoption and Household Risk-Taking" (with Claire Yurong Hong and Xiaomeng Lu), 2021. Presentation Slides. Recorded Presenation.
  
  
• "Trading Puts and CDS on Stocks with Short Sale Ban" (with Sophie Ni), 2011.
  
  

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Publications

• 18. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns" (with Xing Hu, Jiang Wang, and Haoxiang Zhu), Journal of Financial Economics, forthcoming. Presentation Slides.
  
  
• 17. "Chinese Capital Market: An Empirical Overview" (with Xing Hu and Jiang Wang), Critical Finance Review, forthcoming.
  
  
• 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-2021).

  
  
• 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.