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Haoxiang Zhu Assistant Professor of Finance MIT Sloan School of Management 100 Main Street, E62-623 Cambridge, MA 02142 Phone: +1 (617)-253-2478 | Email: zhuh@mit.edu Research Interests: Asset Pricing, Financial Market Structure and Design

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Resume/CV | SSRN Author Page | Google Scholar Page

Working Papers

· Do Dark Pools Harm Price Discovery?, updated November 2012. PDF | Online Appendix

o A dark pool can improve price discovery by increasing the signal-to-noise ratio of the exchange order flow.

First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011

Western Finance Association (2011), NBER Market Design Working Group Meeting (2011), SFS Cavalcade (2012)

· Ex Post Equilibria in Double Auctions of Divisible Assets, with Songzi Du, updated March 2013. PDF

o In an ex post equilibrium of a double auction, a bidder's strategy depends only on his private information, but is still optimal for all realizations of everyone else's private information.

· Are CDS Auctions Biased?, with Songzi Du, updated August 2012. PDF

o The one-sided design of CDS auctions encourages manipulative bidding and results in price biases. We propose a double auction to correct price biases and provide robust price discovery.

ECB-Bank of England Workshop on Asset Pricing (2011), FIRS (2012), Econometric Society summer meeting (2012), SIAM (2012), NBER Asset Pricing meeting (2012), European Finance Association meeting (2012)

FT Alphaville coverage Part 1, Part 2

· Risk Premia in Gold Leasing Markets, with Anh Le, March 2013. PDF NEW

o Gold lease rates are interest rates paid in gold for borrowing gold. Risk premia in gold loans are highly time-varying even at very short maturities.

· Dynamic Information Asymmetry, Financing, and Investment Decisions, with Ilya Strebulaev and Pavel Zryumov, 2013. Coming soon

Publications

· Finding a Good Price in Opaque Over-the-Counter Markets

Review of Financial Studies (2012), 25(4): 1255-1285. SSRN Abstract

o Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.

Review of Financial Studies Young Researcher Prize, 2013

Presentation video of an earlier version at the Utah Winter Finance Conference (2011)

MTS Conference (2010), American Economic Association (2011), Utah Winter Finance Conference (2011)

· Does a Central Clearing Counterparty Reduce Counterparty Risk?, with Darrell Duffie

Review of Asset Pricing Studies (2011), 1(1): 74-95. SSRN Abstract

o Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.

Best Paper Award, Review of Asset Pricing Studies, 2011-2012

· A New Perspective on Gaussian Dynamic Term Structure Models, with Scott Joslin and Kenneth Singleton

Review of Financial Studies (2011), 24(3): 926-970. SSRN Abstract | Online Supplement | Sample Matlab Code

o The no-arbitrage restriction alone does not help predict bond yields in Gaussian term structure models.