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Address: 344 Business Building, University Park, PA 16802
Email: giang.nguyen@psu.edu
ACADEMIC EXPERIENCE
Associate Professor of Finance, Smeal College of Business, Penn State University (2023-present)
Assistant Professor of Finance (2015-2023)
EDITORIAL SERVICE
Associate Editor, Journal of Applied Econometrics (2024-present)
OTHER EXPERIENCE
Visiting Economist, the Federal Reserve Bank of New York (short-term visits since 2015)
Visiting Financial Economist (IPA), the U.S. Securities and Exchange Commission (2019-2020)
RESEARCH INTERESTS
Market microstructure
Fixed income markets
Financial econometrics
EDUCATION
PhD Economics, University of North Carolina at Chapel Hill
PROFESSIONAL EXPERIENCE
NERA Economic Consulting
PricewaterhouseCoopers Vietnam
PUBLICATIONS
PUBLICATIONS
"How Do Treasury Dealers Manage Their Positions?," 2024, with Michael Fleming and Joshua Rosenberg. Journal of Financial Economics, Vol 158, August 2024, pp. 103885.
"The Price of Safety: The Evolution of Municipal Bond Insurance Value,'' 2022, with Kimberly Cornaggia and John Hund. Management Science, 70(4), 2330-2354.
"Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market,'' 2024, with Michael Fleming and Francisco Ruela. Management Science, 70 (1), 332-354.
"Investor Attention and Municipal Bond Returns," 2022, with Kimberly Cornaggia and John Hund. Journal of Financial Markets, 60, 100738.
Lead article
"Opioid Crisis Effects on Municipal Finance," 2022, with Kimberly Cornaggia, John Hund, and Zihan Ye. Review of Financial Studies, 35 (4), 2019-2066.
"Liquidity and Volatility in the U.S. Treasury Market," 2020, with Robert Engle, Michael Fleming, and Eric Ghysels. Journal of Econometrics, 217(2), 207-229.
Lead article
"Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," 2019, with Michael Fleming. Review of Asset Pricing Studies, 9(2), 256-295.
"Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," 2019, with Eric Ghysels. Journal of Risk and Financial Management, 12(4), 164-189.
"The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform," 2018, with Michael Fleming and Bruce Mizrach. Journal of Financial Markets, 40, 2-22.
Lead article
"House Price Dynamics, Unemployment, and the Mobility Decisions of Low-income Homeowners," 2015, with Sarah Riley and Kim Manturuk. Journal of Housing and the Built Environment, 30(1), 141-156.
COMPLETED WORKING PAPERS
COMPLETED WORKING PAPERS
"The Changing Landscape of Treasury Auction Intermediation," 2025, with Michael Fleming and Weiling Liu.
"The Rise of Investor Sophistication and the Decline of Underwriting Profits in the Municipal Bond Market," 2025, with John Hund, Christian Lundblad, and Christos Makridis.
"Do Anti-ESG Policies Hurt Local Governments? Evidence from the Municipal Bond Market,'" 2025, with John Hund, Christian Lundblad, and Christos Makridis.
"Signal Fragmentation in Cryptocurrency Markets,'' 2025, with Mehmet Canayaz, Charles Cao, Zongbo Huang, and Qiang Wang. [New draft coming soon. Older version here]
"Measuring DeFi Price Impact and A New Empirical Market Microstructure Model,'' 2025, with Magnus Hansson, Eric Ghysels, and Xinglin Li.
PERMANENT WORKING PAPERS
PERMANENT WORKING PAPERS
"Electronic Bond Intermediation: Evidence from Corporate Bond ATSs,'' 2021, with Abby Kim.
"Liquidity or Volatility? Disentangling the Sources of Spillovers in Euro Area Sovereign Bond Markets," 2015.
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