Jasper Pan
I am a PhD Candidate in Finance at Rutgers Business School, holding an MA in Economics from Vanderbilt University, as well as a BS in Applied Mathematics and a BA in Economics from UCLA. My academic research and teaching focus on Banking, Financial Regulation, and FinTech. I have taught Financial Management at Rutgers, Money and Banking at Seton Hall University, and Foundations of FinTech at Sacred Heart University. I am currently on the 2024-2025 academic job market and am available for interviews.
Email: jasper.pan@rutgers.edu
WORKING PAPERS
1. Bank Diversification and Tail Risk (solo Job Market Paper)
I examine the relationship between bank business line diversification and tail risk by assessing diversification across 16 business lines using a unique entropy-based measure. The results reveal that a one standard deviation increase in diversification is associated with a 2.5% reduction in tail risk in the subsequent quarter. This effect lasts up to four quarters ahead and is present in both good and bad times. Furthermore, diversified banks exhibit higher future stock returns in the next three quarters, higher profitability, lower default risk, higher change in loan supply, and lending resilience during the Great Recession. Lastly, diversification of core business lines (related diversification) is associated with lower tail risk and higher returns while diversification of noncore business lines (unrelated diversification) is not. This paper emphasizes the crucial role of diversification across business lines in mitigating tail risk and enhancing overall bank performance particularly during periods of financial instability and documents that it is related diversification that benefits banks.
Presented at: University of the District of Columbia (School of Business and Public Administration), Sacred Heart University (Jack Welch College of Business and Technology), Rutgers Business School (Finance and Economics Department), 51st Annual Northeast Business & Economics Association (NBEA) Conference (scheduled)
Awards: Student Scholarship Award, 51st Annual Northeast Business & Economics Association (NBEA) Conference, 2024
2. Do “MEASURES” of Bank Diversification Measure Up? (with Profs. Priyank Gandhi and Darius Palia)
We analyze the effectiveness of several widely-used measures of bank business segment diversification in capturing the ‘diversification effect’, i.e., the ability of the measure to explain variation in idiosyncratic risk over time and across banks. Portfolio theory suggests that bank business segment diversification is negatively correlated with idiosyncratic risk (especially if income from these segments is imperfectly or negatively correlated with each other). We find that several commonly used measures of bank business segment diversification are either poorly or positively correlated with idiosyncratic risk, suggesting that they are inaccurate or misleading indicators of bank business segment diversification. We instead propose an ‘Entropy’ measure that accounts for both the number of businesses segments that a bank operates in as well as the proportion of banks’ incomes from the business segments. In horseraces Entropy performs significantly better in capturing the diversification effect and thus measuring the degree of bank diversification.
Presented at: American Finance Association Committee on Racial Diversity Workshop, Pacific Basin Finance, Economics, Accounting and Management Conference, Rutgers Business School (scheduled)
WORK IN PROGRESS
3. Measuring Cost of Capital of Banks (with Profs. Priyank Gandhi and Darius Palia)
The existing banking literature lacks consensus on the optimal metric for assessing banks' cost of capital, despite its frequent use of the Capital Asset Pricing Model (CAPM), which fails to explain significant variations in expected returns. Our study addresses this gap by systematically comparing various metrics and proposing a more effective one, enabling us to revisit the low-risk anomaly in bank stock returns where banks with lower leverage exhibit higher returns. Furthermore, we reassess the impact of the Dodd-Frank Act's Volcker Rule on banks' cost of capital.
RELEVANT EXPERIENCE
Adjunct Instructor of Finance, Sacred Heart University, Jack Welch College of Business and Technology
Foundations of FinTech, MS Business Analytics (1 section, hybrid, 25 students), 2025 (scheduled)
Foundations of FinTech, MS Business Analytics (1 section, online, 10 students), 2024
Adjunct Instructor of Finance, Seton Hall University, Stillman School of Business
Money and Banking, Undergraduate (1 section, in person, 35 students), 2024
Adjunct Instructor of Finance, Rutgers Business School
Financial Management, Undergraduate (2 sections, online, 60 students, average rating: 4.4/5.0), 2021
Financial Management, Undergraduate (2 sections, online, 50 students, average rating: 4.7/5.0), 2020
AWARDS AND HONORS
American Finance Association (AFA) Committee on Racial Diversity Mentee, 2023–Present
Student Scholarship Award, 51st Annual Northeast Business & Economics Association (NBEA) Conference, 2024
Hazel Vera Dean Fellowship, Rutgers University, 2024–2025
Graduate School PhD Fellowship, Rutgers University, 2023–2024
Dean's Fund for Summer PhD Research, Rutgers Business School, 2023–2024
PhD Travel Grant, Rutgers Business School, 2023–2024
PhD Teaching and Research Assistantship, Rutgers Business School, 2019–2023
Student Representative Appreciation Award, Economics Department, Vanderbilt University, 2018
Mouzon and Sultan Siddiqi Citizenship Award, Economics Department, Vanderbilt University, 2018
Academic Excellence Award, Economics Department, Vanderbilt University, 2018
Dean's Honors Lists, UCLA, 2016–2017
DISSERTATION COMMITTEE
Priyank Gandhi (Advisor), Associate Professor of Finance, Rutgers Business School
Darius Palia, Thomas A. Renyi Endowed Chair in Banking, Rutgers Business School
Azi Ben-Rephael, Associate Professor of Finance, Rutgers Business School
AFA MENTORS
Zhiguo He, James Irvin Miller Professor of Finance, Stanford University, Graduate School of Business
Philip Bond, Professor of Finance and Business Economics, University of Washington, Foster School of Business
Morten Bennedsen, Niels Bohr Professor of Economics, University of Copenhagen, Hoffmann Chaired Professor of Family Enterprise, INSEAD