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: zhuh “at” mit “dot” edu


Research Interests:

Asset Pricing, Market Structure, Market Design


Resume/CV | SSRN Author Page | Google Scholar Page

What’s New

·         October 2014: New version of Welfare and Optimal Trading Frequency in Dynamic Double Auctions, with Songzi Du

·         November 2014: New version of Benchmarks in Search Markets, with Darrell Duffie and Piotr Dworczak

·         December 2014: New version of Shades of Darkness: A Pecking Order of Trading Venues, with Albert Menkveld and Bart Zhou Yueshen

·         January 2015: New version of Commodities as Collateral, with Ke Tang

Research on Market Structure, Market Design, Frictions

·         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

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

·         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

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

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

·         Do Dark Pools Harm Price Discovery?

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

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

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

·         Welfare and Optimal Trading Frequency in Dynamic Double Auctions, with Songzi Du, October 2014. MIT Finance Blog New Version

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

o   What is optimal trading frequency of financial markets?

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), Toulouse Conference on Trading in Electronic Markets (2014), Central Bank Workshop on Microstructure of Financial Markets (2014)

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

·         Shades of Darkness: A Pecking Order of Trading Venues, with Albert Menkveld and Bart Zhou Yueshen, December 2014. New Version

o   We propose and test a “pecking order” hypothesis of trading venues: Lit, dark, and darker.

·         Benchmarks in Search Markets, with Darrell Duffie and Piotr Dworczak, November 2014. New Version

o   Adding a benchmark like Libor improves transparency of search markets and, under natural conditions, improves market efficiency.

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

o   The current design of CDS auctions leads to biased prices and misallocation of bonds. A double auction design does better.

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

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

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)

·         Commodities as Collateral, with Ke Tang, January 2015. New Version

o   In the presence of capital control and financing frictions, financial investors import commodities and use them as collateral to earn a risk premium.

Duke-UNC Asset Pricing Conference (2014), CICF (2014), NBER China economy meeting (2015)

Research on Asset Pricing Models and Corporate Finance Theory

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

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

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

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

o   The short-run component of yield volatility predicts bond excess returns with a positive sign.

AEA (2014)

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

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.

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)