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Probability weighting of rare events and currency returns

Chabi-Yo, Fousseni; Song, Zhaogang - 2012 - This draft, November 15, 2012

Persistent link: https://www.econbiz.de/10009697741

The value of trading relationships in turbulent times

Di Maggio, Marco; Kermani, Amir; Song, Zhaogang - 2016

Persistent link: https://www.econbiz.de/10011507335

Agency MBS as Safe Assets

He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022

Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...

Persistent link: https://www.econbiz.de/10013190993

Treasury inconvenience yields during the COVID-19 crisis

He, Zhiguo; Nagel, Stefan; Song, Zhaogang - 2020

Persistent link: https://www.econbiz.de/10012250590

Mortgage dollar roll

Song, Zhaogang; Zhu, Haoxiang - In: The review of financial studies 32 (2019) 8, pp. 2955-2996

Persistent link: https://www.econbiz.de/10012033901

Do hedge funds exploit rare disaster concerns?

Gao, George P.; Gao, Pengjie; Song, Zhaogang - In: The review of financial studies 31 (2018) 7, pp. 2650-2692

Persistent link: https://www.econbiz.de/10011927183

Tail risk concerns everywhere

Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130

Persistent link: https://www.econbiz.de/10012039979

Liquidity in a market for unique assets : specified pool and to-be-announced trading in the mortgage-backed securities market

Gao, Pengjie; Schultz, Paul; Song, Zhaogang - In: The journal of finance : the journal of the American … 72 (2017) 3, pp. 1119-1170

Persistent link: https://www.econbiz.de/10011738671

Commonality in credit spread changes : dealer inventory and intermediary distress

He, Zhiguo; Khorrami, Paymon; Song, Zhaogang - In: The review of financial studies 35 (2022) 10, pp. 4630-4673

Persistent link: https://www.econbiz.de/10013400131

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - In: The journal of finance : the journal of the American … 77 (2022) 6, pp. 3249-3287

Persistent link: https://www.econbiz.de/10013464253