Zhaogang Song, PhD

Zhaogang Song joined the Johns Hopkins Carey Business School in 2015 and has been a Professor of Finance in the research track since 2022. He worked as an Economist at the Board of Governors of the Federal Reserve System in Washington DC from 2011 to 2015. He holds a BA in Management Science and Engineering and a MA in Finance from Shandong University, China, and a PhD in Finance from Cornell University.

Song's main research interests are in asset pricing, financial Intermediation, market microstructure, monetary policy, and financial econometrics. He has published research papers in various academic journals including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, and Management Science among others. Song's research has won several awards, including the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives, among others.

In addition to academic research, Zhaogang Song actively involves in both policy issues on financial markets and investment practice in the financial industry. He served as an academic expert for the US Commodity Futures Trading Commission (CFTC) from 2018 to 2019 and is currently a consultant for the Dimensional Fund Advisors (DFA) since 2022. He has also been a visiting scholar at the Federal Reserve Bank of Philadelphia. He published articles in practitioners and policy outlets including the Journal of Investment Management and the Liberty Street Economics of the Federal Reserve Bank of New York.

Education

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

Research

Selected publications

• “Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress” Slides with (Zhiguo He and Paymon Khorrami) Review of Financial Studies, (November 2021), forthcoming
• “Asset Pricing with Cohort-Based Trading in MBS Markets", (Wei Li, Nicola Fusari, and Haoyang Liu) Journal of Finance, (September 2021), forthcoming
• "Treasury Inconvenience Yields during the COVID-19 Crisis"’, (with  Zhiguo He and Stefan Nagel) Journal of Financial Economics, (March 2021), forthcoming
•  "Disagreement Beta" (with George Gao, Xiaomeng Lu, and Hongjun Yan) Journal of Monetary Economics, (November, 2019), 107: 96-113
• "Mortgage Dollar Roll” (with Haoxiang Zhu ) Review of Financial Studies, (August, 2019), 32-8: 2955-2996
• "Tail Risk Concerns Everywhere",(Data), (with George Gao and Xiaomeng Lu) Management Science (July 2019), 65-7: 3111-3330              
• "Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market"’, (with Paul Schultz) Journal of Financial Economics (July 2019), 133-1: 113 -133
• “Do Hedge Funds Exploit Rare Disaster Concerns?” (Data), (with George Gao and Pengjie Gao) Review of Financial Studies, (July, 2018), 31-7: 2650-2692

Teaching

Current

• Linear Econometrics for Finance

Honors and distinctions

• Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics in 2015 - 2016
• NASDAQ Best Paper Award in Market Microstructure - Financial Management Association 2016
• TCFA Best Paper Award, Chinese Finance Association, 2014
• 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, 2013
• Best Paper Award, International Symposium on Risk Management and Derivatives, 2012
• Third Prize, China National Mathematics Olympiad, 1998