Jane (Jian) Li

I am a PhD student in the Joint Program in Financial Economics at the University of Chicago. I study financial intermediation and topics at the intersection of macroeconomics and finance. Please see my research statement here.

My job market paper focuses on liquidity issues in the U.S. corporate bond market. I find that credit yields have become significantly more sensitive to bid-ask spreads in the cross-section. I construct a heterogenous-investor model that links this increased sensitivity to rapidly growing mutual fund participation. The model shows that low risk-free rates induce more short term investors to enter the bond market and this, in turn, drives the increase in sensitivity. I demonstrate that a robust set of model predictions hold in the data and explore the impact of counterfactual investor composition on credit yields.

I will be available for interviews during the EEA 2020 and the ASSA 2021 Annual Meetings.

Contact Info: lijian@uchicago.edu

References: Zhiguo He (Co-chair); Ralph Koijen (Co-chair); Lars Peter Hansen; Anil Kashyap; Douglas Diamond