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Pengjie Gao

Associate Professor

BIO

Assistant Finance Professor Paul Pengjie Gao conducts research on asset prices. In recent papers, he has investigated institutional investment policy constraints, induced liquidity shocks, and asset prices; financial distress and default risk; risk and return profiles of the convergence trades; information processing capability of institutional investors and their performance; information intermediary’s bias and asset prices; short-sale constraints and asset prices; and investor attention and asset prices. He received competitive research grants from Moody’s KMV and Morgan Stanley. His papers have been presented at the American Financial Association (AFA), Western Finance Association (WFA), Financial Research Association (FRA), and National Bureau of Economic Research (NBER) meetings, and accepted for publication at the Journal of Financial and Quantitative Analysis. Paul teaches an elective course on the design, construction, implementation, and performance evaluation of investment strategies. He earned his doctoral degree in Financial Economics from Northwestern University in 2007. Prior to joining academics, he worked for Pequot Capital and Zacks IFE.

AREAS OF EXPERTISE

EDUCATION

TEACHING

  • Advanced Investment Strategies
  • Quantitative Portfolio Strategies

HOMEPAGE

PUBLICATIONS

"Sum of All FEARS: investor sentiment and asset prices," (with Zhi Da, Joseph Engelberg, ), To appear in Review of Financial Studies.

"The Value of a Rolodex: CEO Pay and Personal Network," (with Joey Engelberg, Chris Parsons),  Review of Financial Studies, 26, January (1st Quarter/Winter), 2013, 79-114.

"Friends With Money," (with Joseph Engelberg, Christopher Parsons),  Journal of Financial Economics, January (1st Quarter/Winter), 2012.

"In Search of Attention," (with Zhi Da, Joseph Engelberg, ),  Journal of Finance, October (4th Quarter/Autumn), 2011.

"“Impatient Trading, Liquidity Provision and Mutual Fund Stock Selections," (with Zhi Da, Ravi Jagannathan),  Review of Financial Studies, March, 2011.

"Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks," (with Zhi Da, ), To appear in Journal of Financial and Quantitative Analysis, February, 2010.