Haoxiang Zhu

Assistant Professor of Finance, MIT Sloan School of Management

Faculty Research Fellow, NBER


100 Main Street, E62-623, Cambridge, MA 02142

Phone: +1 (617)-253-2478 | Email:


Research Interests:

Asset Pricing, Financial Market Structure and Design


Resume/CV | SSRN Author Page | Google Scholar Page

Publications/Forthcoming Articles

·         Do Dark Pools Harm Price Discovery?

o   A dark pool can improve price discovery by concentrating informed traders on the exchange.

Review of Financial Studies (2014), 27(3): 747-789.  SSRN Abstract | Online Appendix | Matlab code

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

·         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)

·         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.

Michael Brennan Best Paper Award, Review of Asset Pricing Studies, 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.

Working Papers

·         Welfare and Optimal Trading Frequency in Dynamic Double Auctions, with Songzi Du, September 2014. PDF New Version

o   What are the welfare consequences of increasing trading frequency in financial markets? Is there an optimal trading frequency? Does an increase in speed affect fast and slow traders equally?

Yihong Xia Best Paper Award, China International Conference in Finance, 2013

Finance Theory Group meeting (2013), Barcelona Information Workshop (2013), Econometrics Society Summer Meeting (2013), CICF (2013), SAET (2013), NBER Market Microstructure meeting (2013), SITE (2014)

(Previous titles: “Ex Post Equilibrium in Double Auctions of Divisible Assets”, “Dynamic Ex Post Equilibrium, Welfare, and Optimal Trading Frequency in Double Auctions”)

·         Are CDS Auctions Biased and Inefficient?, with Songzi Du, December 2013.  PDF

o   The current design of CDS auctions prevents investors from fully participating, resulting in biased prices and inefficient allocations. A double auction design improves price discovery and allocative efficiency.

A previous version of this paper, titled “Are CDS Auctions Biased?”, has a different model and some empirical results.

ECB-Bank of England Workshop on Asset Pricing (2011), FIRS (2012), Econometric Society summer meeting (2012), SIAM (2012), NBER Asset Pricing meeting (2012), EFA (2012), SAET (2013), WFA (2014)

Financial Times Alphaville coverage Part 1, Part 2

·         Dynamic Information Asymmetry, Financing, and Investment Decisions, with Ilya Strebulaev and Pavel Zryumov, January 2014. PDF | Online Appendix

o   We reexamine the static Myers and Majluf (1984) problem in a dynamic market, where firms can delay investment and choose between debt and equity.

UNC-Duke Corporate Finance Conference (2013), FIRS (2014)

·         Risk and Return Trade-off in the U.S. Treasury Market, with Eric Ghysels, Anh Le, and Sunjin Park, March 2014. PDF

AEA (2014)

·         Commodities as Collateral, with Ke Tang, August 2014. PDF

o   We propose a theory for commodity as collateral and report evidence. In the presence of capital control and financing frictions, financial investors import commodities and pledge them as collateral to earn a risk premium.

Duke-UNC Asset Pricing Conference (2014), CICF (2014)

Preliminary Work

·         QE Auctions of Treasury Bonds, with Zhaogang Song, June 2014. PDF

o   To implement its QE policy, the Fed buys Treasury bonds in (reverse) auctions. What are the dealers’ bidding behaviors and the Fed’s costs?

NBER Summer Institute Asset Pricing meeting (2014)

·         Mortgage Dollar Roll, with Zhaogang Song, August 2014. PDF

o   We analyze the “specialness” of mortgage dollar roll, the predominant trading strategy to finance agency MBS.

Fixed Income Conference (2014)

·         Risk Premia in Gold Lease Rates, with Anh Le, October 2013. PDF

o   Gold lease rates are interest rates paid in gold for borrowing gold. Risk premium in "gold loans" increases in the slope of gold lease rates and gold volatility.

NBER Economics of Commodity Markets meeting (2013), AFA (2014)