Haoxiang Zhu's Homepage
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Haoxiang Zhu

Gordon Y Billard Professor of Management and Finance, MIT Sloan School of Management

Associate Professor of Finance, MIT Sloan School of Management

Research Associate, National Bureau of Economic Research (NBER)

Faculty Affiliate, MIT Golub Center for Finance and Policy

Faculty Affiliate, MIT Laboratory for Financial Engineering

Email: zhuh at mit dot edu

Research Interest: Asset Pricing, Market Structure, Market Design

Resume/CV | SSRN Author Page | Google Scholar Author Page

Haoxiang Zhu is Gordon Y Billard Professor of Management and Finance and Associate Professor of Finance at the MIT Sloan School of Management. He is also a Research Associate at the National Bureau of Economic Research, a Faculty Affiliate of the MIT Golub Center for Finance and Policy, and a Faculty Affiliate of the MIT Laboratory for Financial Engineering. He currently serves as a finance Department Editor of Management Science and an Associate Editor of Journal of Finance.

Zhu's main research interests are broadly in asset pricing, especially market structure and design. He has published research papers in Journal of Finance, Journal of Financial Economics, Review of Economic Studies, and Review of Financial Studies, among others. Zhu's research has won several awards, including the 2017 Amundi Smith Breeden Prize (First Prize) from the Journal of Finance, the 2016 AQR Insight Award Prize (First Prize), the 2015 Kepos Capital Award for Best Paper on Investments from the Western Finance Association, and the 2013 Review of Financial Studies Young Researcher Prize. In 2016, he was named one of the 40 under 40 Best Business School Professors by Poets and Quants.

Haoxiang Zhu actively involves in policy issues on financial markets and financial regulation. He has previously served as an academic expert for the US Commodity Futures Trading Commission (CFTC) and the Bank for International Settlements (BIS), and is currently a member of the Federal Reserve Bank of Chicago's Working Group on Financial Markets.

He holds a BA in Mathematics and Computer Science from the University of Oxford and a PhD in Finance from Stanford University Graduate School of Business.

What's New

New or Recently Revised Working Papers (see CV for full list)

SSRN started to ask for logins before downloading papers, which I find inconvenient. As a result, I no longer post SSRN links on my webpage. All paper links here go to PDF files directly.

Policy Involvement in Market Structure and Other Topics

Market Design for LIBOR Transition

Publications/Forthcoming Articles (in reverse chronological order)

  1. Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns, with Grace Xing Hu, Jun Pan, and Jiang Wang, Forthcoming in Journal of Financial Economics
    • The stock market has high returns ahead of FOMC, nonfarm payroll, GDP, and ISM announcements, without visibly higher risk measures. A model of heightened uncertainty and resolution can explain them.
  1. Strategic Trading when Central Bank Intervention is Predictable, with Liyan Yang. Review of Asset Pricing Studies, 2021, 11(4), 735--761
    • When the central bank reacts to a lower market price by supportive invention, strategic investors have the incentive to produce a low price to get the intervention.
  1. Swap Trading after Dodd-Frank: Evidence from Index CDS, with Lynn Riggs, Esen Onur, and David Reiffen. Journal of Financial Economics, 2020, 137(3), 857--886
    • Granular message-level data reveal customers' choice of trading mechanisms and dealers' liquidity provision in swap execution facilities.
  1. Back-Running: Seeking and Hiding Fundamental Information in Order Flows, with Liyan Yang. Review of Financial Studies, 2020, 33(4), 1484--1533. | MarketWatch Blog
    • A fundamental informed investor and an order-flow informed trader ("back-runner") play a hide-and-seek game.
  1. Mortgage Dollar Roll, with Zhaogang Song. Review of Financial Studies, 2019, 32(8), 2955--2996.
    • Mortgage dollar roll is the most important trading strategy to finance agency MBS. Adverse selection and leverage constraint are important drivers in this market.
  1. Quantitative Easing Auctions of Treasury Bonds, with Zhaogang Song. Journal of Financial Economics, 2018, 128(1), 103--124.
    • When buying Treasury bonds in its QE operation, the Fed prefers to buy bonds that are cheaper than model, but pays higher price markup on them.
  1. Non-Fundamental Speculation Revisited, with Liyan Yang. Journal of Finance (Replications and Corrigenda), 2017, 72, 2759--2772.
  1. Are CDS Auctions Biased and Inefficient?, with Songzi Du. Journal of Finance, 2017, 72, 2589--2628. | Supplementary Appendix
    • The current design of CDS auctions leads to biased prices and misallocation of bonds. A double auction design does better.
    • A previous version, titled "Are CDS Auctions Biased?", has a different model and some empirical results.
  1. Benchmarks in Search Markets, with Darrell Duffie and Piotr Dworczak. Journal of Finance, 2017, 72, 1983--2044. | Online Appendix | VOX blog
    • Amundi Smith Breeden Prize (First Prize), Journal of Finance, 2017
    • Adding a benchmark like Libor improves transparency in search markets and, under certain conditions, improves market efficiency.
  1. What is the Optimal Trading Frequency in Financial Markets?, with Songzi Du. Review of Economic Studies, 2017, 84, 1606--1651. | Supplemental Materials | MarketWatch Blog, December 2014 | Oxford Business Law Blog, May 2017

    This paper large subsumes the earlier version, "Welfare and Optimal Trading Frequency in Dynamic Double Auctions", with Songzi Du, December 2015

    • Kepos Capital Award for Best Paper on Investments, Western Finance Association, 2015
    • Yihong Xia Best Paper Award, China International Conference in Finance, 2013
    • What is optimal trading frequency in financial markets? It depends on the tradeoff between faster reaction to new information and a thicker market.
  1. Size Discovery, with Darrell Duffie. Review of Financial Studies, 2017, 30(4), 1095--1150. | Online Appendix | Presentation at the 2017 Utah Winter Finance Conference
    • First Prize, AQR Insight Award, 2016
    • "Size discovery" mechanisms like "workup," "matching sessions" and "dark pools" execute large trades at a fixed price. By giving up price discovery, size discovery mitigates concerns about price impact and improves allocation efficiency.
  1. Shades of Darkness: A Pecking Order of Trading Venues, with Albert Menkveld and Bart Zhou Yueshen. Journal of Financial Economics, 2017, 124(3), 503--534.
    • TCW Best Paper Award, China International Conference in Finance, 2015
    • Best Paper Award, Finance Down Under conference, 2015
    • We propose and test a "pecking order" hypothesis of trading venues: Lit, dark, and darker.
  1. Bilateral Trading in Divisible Double Auctions, with Songzi Du. Journal of Economic Theory, 2017, 167, 285--311.
    • Existing models of divisible double auctions typically require three or more traders. We characterizes a family of non-linear, ex post equilibria in a divisible double auction with only two traders.
  1. Commodities as Collateral, with Ke Tang. Review of Financial Studies, 2016, 29(8): 2110--2160.
    • In the presence of capital control and financing frictions, financial investors import commodities and use them as collateral to earn a risk premium.
  1. Do Dark Pools Harm Price Discovery?. Review of Financial Studies, 2014, 27(3): 747-789.
    • First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
    • A dark pool can improve price discovery by concentrating informed traders on the exchange.
    • Online Appendix | Matlab Code
  1. Finding a Good Price in Opaque Over-the-Counter Markets. Review of Financial Studies, 2012, 25(4): 1255-1285.
    • Review of Financial Studies Young Researcher Prize, 2013
    • Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.
  1. Does a Central Clearing Counterparty Reduce Counterparty Risk?, with Darrell Duffie. Review of Asset Pricing Studies, 2011, 1(1): 74-95.
    • Michael Brennan Best Paper Award, Review of Asset Pricing Studies, 2012
    • Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.
  1. A New Perspective on Gaussian Dynamic Term Structure Models, with Scott Joslin and Ken Singleton. Review of Financial Studies, 2011, 24(3): 926-970.