Contact Information

Office: (574) 631-8048

Email Paul Gao

Pengjie Gao

Assistant Professor of Finance

Department of Finance
Mendoza College of Business
University of Notre Dame

Ph.D. in Finance, 2007
Kellogg School of Management, Northwestern University

Curriculum Vitae

Research Interests

Asset Pricing, Market Microstructure; Investment; Financial News Media; Network Economics.

Select Published Papers

The Sum of All FEARS: Investor Sentiment and Asset Prices, 2013, with Zhi Da and Joey Engelberg, Conditionally Accepted, The Review of Financial Studies (First Draft: 2009; This Draft: October, 2013)

The Value of a Rolodex: CEO Pay and Personal Network, 2013, with Joey Engelberg and Chris Parsons, The Review of Financial Studies. (First Draft: 2009)

Friends with Money, 2012, with Joey Engelberg and Chris Parsons, The Journal of Financial Economics. (First Draft: 2010)

In Search of Attention, 2011, with Zhi Da and Joey Engelberg, The Journal of Finance. (First Draft: 2009)

Impatient Trading, Liquidity Provision and Mutual Funds Stock Selection, 2011, with Zhi Da and Ravi Jagannathan, The Review of Financial Studies. (Internet Appendix) (First Draft: 2007)

Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks, 2010, with Zhi Da, The Journal of Financial and Quantitative Analysis. (First Draft: 2004)

Short Sales and the Weekend Effect - Evidence from a Natural Experiment, 2012, with Jia Hao, Ivalina Kalcheva, and Tongshu Ma, Forthcoming, The Journal of Financial Markets, (First Draft: 2005; This Draft: 2012)

Working Papers

Do Hedge Funds Exploit Rare Disaster Concerns?, 2014, with George Gao and Zhaogang Song (This Draft: January, 2014)

Rare Disaster Index (RIX): time-series data download (last updated: Decemeber 31, 2013)

Liquidity Backstop, Corporate Borrowings, and Real Effect, 2012, with Hayong Yun. (This Draft: August, 2013)

Political Uncertainty and Public Financing Costs, 2013, with Yaxuan Qi. (This Draft: August, 2013)

Property Rights Protection, Information Acquisition, and Asset Prices: Theory and Evidence, 2013, with Elias Albagli and Yongxiang Wang. (This Draft: July, 2013)

Cross-Market Timing in Security Issuance, 2013, with Dong Lou. (This draft: May, 2013)

The Global Relation Between Financial Distress and Equity Returns, 2013, with Chris Parsons and Jianfeng Shen (This Draft: March, 2013)

In Search of Fundamentals, 2011, with Zhi Da and Joey Engelberg. (First Draft: 2009)

The Pre-Earnings Announcement Drift, 2010, with Peter D. Easton and George Gao. (First Draft: 2008)

Internet Search and Momentum, 2011, with Zhi Da and Joey Engelberg. (First Draft: 2009)

Conference Discussions

Slides can be downloaded here.

Teaching (at Sakai)

Case Development

Extraordinary Value Partners LLP ( 2007)

Notre Dame Endowment Office
( 2008)