Zhaogang Song

Zhaogang Song, PhD

Associate Professor
Academic AreaFinance
Areas of InterestInvestments, Fixed-Income Securities, Derivatives, Financial Econometrics

Zhaogang Song, PhD (Economics, Cornell University), joined the Johns Hopkins Carey Business in 2015. He is an Associate Professor of Finance in the research track with expertise in the areas of asset pricing, financial econometrics, financial market structure and design, and financial intermediation.


  • Ph. D, Economics, Cornell University
  • MA, Finance, Shandong University
  • BS, Economics and Finance, Shandong University


    Selected publications
    • “A Martingale Approach for Testing Diffusion Models Based on Infinitesimal Operator”, Journal of Econometrics, 162-2 , (2011), 189-212
    • “Testing Whether the Underlying Continuous-Time Process follows a Diffusion: an Infinitesimal Operator-Based Approach” (with Bin Chen)  Journal of Econometrics, 173-1, (2013), 83-107
    • “A Tale of Two Option Markets: Pricing Kernels and Volatility Risk” (with Dacheng Xiu), Journal of Econometrics (forthcoming)
    Working papers
    • “Do Hedge Funds Exploit Rare Disaster Concerns?” (with George Gao and Pengjie Gao),  R&R
    • “Rare Disaster Concerns Everywhere” (with George Gao)
    • “Subjective Belief, Crash Perception, and Cross Sectional Stock Return” (with George Gao and Liyan Yang)
    • “Affine Jump Term Structure Models: Expectation Puzzles and Conditional Volatility”, (with Haitao Li)
    • “Tail Risk in Fixed Income Markets” (with Haitao Li)
    • “Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the MBS Market” (with Pengjie Gao and Paul Schultz), R&R
    • “Do the Federal Reserve’s Asset Purchases Harm MBS Market Liquidity?” (with Pengjie Gao and Paul Schultz)
    • “QE Auctions of Treasury Bonds” (with Haoxiang Zhu)
    •  “Mortgage Dollar Roll” (with Haoxiang Zhu)
    • “The Value of Trading Relationship in Turbulent Timesale” (with Marco Di Maggio  and Amir Kermani)


    • Linear Econometrics for Finance

    Honors and distinctions

    • 2014 TCFA Best Paper Award - Chinese Finance Association
    • 2013 Q-Group Research Award
    • 2013 IFSID Research Award - Montreal Institute of Structured Products and Derivatives
    • 2013 GARP Research Award - Global Association of Risk Professionals
    • 2013 Best Paper Award (first prize) - China Finance Review International Conference
    • 2012 Best Paper Award in Derivatives - International Symposium on Risk Management and Derivatives