Details about Jun Pan

Access statistics for papers by Jun Pan.

Last updated 2024-01-04. Update your information in the RePEc Author Service.

Short-id: ppa1004

Working Papers

2021

1. FinTech adoption and household risk-taking
   BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT) View citations (3)

2020

2. FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2019

3. FinTech Platforms and Mutual Fund Distribution
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
4. Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article Premium for heightened uncertainty: Explaining pre-announcement market returns, Journal of Financial Economics, Elsevier (2022) View citations (8) (2022)
5. The SOE Premium and Government Support in China's Credit Market
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

2018

6. Chinese Capital Market: An Empirical Overview
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

2015

7. Tri-Party Repo Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article Tri-Party Repo Pricing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2021) View citations (10) (2021)

2010

8. Excess Volatility of Corporate Bonds
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (2)
9. Noise as Information for Illiquidity
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article Noise as Information for Illiquidity, Journal of Finance, American Finance Association (2013) View citations (218) (2013)

2007

10. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article How Sovereign Is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (613) (2011)

2004

11. The Information of Option Volume for Future Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article The Information in Option Volume for Future Stock Prices, The Review of Financial Studies, Society for Financial Studies (2006) View citations (310) (2006)

2003

12. Dynamic Derivative Strategies
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (134)
    See also Journal Article Dynamic derivative strategies, Journal of Financial Economics, Elsevier (2003) View citations (123) (2003)

2002

13. An Equilibrium Model of Rare Event Premia
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (1)
14. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) View citations (2)
    See also Journal Article Dynamic Asset Allocation with Event Risk, Journal of Finance, American Finance Association (2003) View citations (181) (2003)

1999

15. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica, Econometric Society (2000) View citations (1104) (2000)

Journal Articles

2022

1. Premium for heightened uncertainty: Explaining pre-announcement market returns
   Journal of Financial Economics, 2022, 145, (3), 909-936 View citations (8)
   See also Working Paper Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns, NBER Working Papers (2019) View citations (1) (2019)

2021

2. Tri-Party Repo Pricing
   Journal of Financial and Quantitative Analysis, 2021, 56, (1), 337-371 View citations (10)
   See also Working Paper Tri-Party Repo Pricing, NBER Working Papers (2015) View citations (3) (2015)

2017

3. Early peek advantage? Efficient price discovery with tiered information disclosure
   Journal of Financial Economics, 2017, 126, (2), 399-421 View citations (23)

2013

4. Bond Illiquidity and Excess Volatility
   The Review of Financial Studies, 2013, 26, (12), 3068-3103 View citations (38)
5. Noise as Information for Illiquidity
   Journal of Finance, 2013, 68, (6), 2341-2382 View citations (218)
   See also Working Paper Noise as Information for Illiquidity, NBER Working Papers (2010) View citations (12) (2010)

2011

6. How Sovereign Is Sovereign Credit Risk?
   American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 View citations (613)
   See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) View citations (50) (2007)
7. The Illiquidity of Corporate Bonds
   Journal of Finance, 2011, 66, (3), 911-946 View citations (343)

2008

8. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
   Journal of Finance, 2008, 63, (5), 2345-2384 View citations (418)
9. Volatility Information Trading in the Option Market
   Journal of Finance, 2008, 63, (3), 1059-1091 View citations (88)

2006

10. Interpreting Recent Changes in the Credit Spreads of Japanese Banks
    Monetary and Economic Studies, 2006, 24, (S1), 129-141 View citations (6)
11. The Information in Option Volume for Future Stock Prices
    The Review of Financial Studies, 2006, 19, (3), 871-908 View citations (310)
    See also Working Paper The Information of Option Volume for Future Stock Prices, NBER Working Papers (2004) View citations (3) (2004)

2003

12. Dynamic Asset Allocation with Event Risk
    Journal of Finance, 2003, 58, (1), 231-259 View citations (181)
    See also Working Paper Dynamic Asset Allocation With Event Risk, NBER Working Papers (2002) View citations (7) (2002)
13. Dynamic derivative strategies
    Journal of Financial Economics, 2003, 69, (3), 401-430 View citations (123)
    See also Working Paper Dynamic Derivative Strategies, Working papers (2003) View citations (134) (2003)

2002

14. The jump-risk premia implicit in options: evidence from an integrated time-series study
    Journal of Financial Economics, 2002, 63, (1), 3-50 View citations (615)

2001

15. Analytical value-at-risk with jumps and credit risk
    Finance and Stochastics, 2001, 5, (2), 155-180 View citations (54)

2000

16. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (1104)
    See also Working Paper Transform Analysis and Asset Pricing for Affine Jump-Diffusions, NBER Working Papers (1999) View citations (7) (1999)

1996

17. STRUCTURES OF SILICON CLUSTERS
    Surface Review and Letters (SRL), 1996, 03, (01), 341-345