中文版
Jun Liu
Professor of Finance, University of California, San Diego

jliu@saif.sjtu.edu.cn

Support Staff: Chengying Jin cyjin@saif.sjtu.edu.cn

  • PROFILE
  • RESEARCH
  • TEACHING
Jun Liu is a Special-Term Professor of Finance at Shanghai Advanced Institute of Finance, and a Professor of Finance at the Rady School of Management, University of California at San Diego.


Professor Liu’s research focuses on theoretical and empirical asset pricing, and the development and use of econometric methods. His Journal has been published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, as well as the Journal of Business, Review of Accounting Studies, Accounting Review, and Financial Analyst Journal.


Professor Liu won the Michael Brennan Award for the best paper published in Review of Financial Studies in 2005. Professor Liu is a National Thousand Talents Program Scholar and a Cheung Kong Scholars (sponsored by the Ministry of Education of the People's Republic of China).


Professor Liu teaches Chinese Economy: Theory and Practice for Master of Finance Program and Asset Pricing Theory for Ph.D. Program at SAIF.


Professor Liu holds a Ph.D. in Finance (2000) from Stanford University and a Ph.D. in Physics (1988) from University of Texas at Austin.


Research Interests
Theoretical and Empirical Asset Pricing, Econometrics.

Journal Publications & Working Papers
1. Arnott, Robert, Jason Hsu, Jun Liu, and Harry Markowitz, 2015, Can Noise Create the Size and Value E ffects?, Management Science.
2. Caskey, Judson, John S. Hughes, and Jun Liu, 2015, Strategic Informed Trades, Diversification, and Expected Returns, The Accounting Review.
3. Liu, Jun, and Allan Timmermann, 2013, Optimal Convergence Trade Strategies, Review of Financial Studies.
4. Liu, Jun, Ehud Peleg, and Avanidhar Subrahmanyam, 2010, Information, Expected Utility, and Portfolio Choice, Journal of Financial and Quantitative Analysis.
5. Hughes, John, Jing Liu, and Jun Liu, 2009, On the relation between expected returns and implied cost of capital, Review of Accounting Studies.
6. Liu, Jun, and Mark Grinblatt, 2008, Debt Policy, Corporate Taxes, and Discount Rates, Journal of Economic Theory.
7. Liu, Jun, 2007, Portfolio Selection in Stochastic Environments, Review of Financial Studies.
8. Ang, Andrew, and Jun Liu, 2007, Risk, Return and Dividends, Journal of Financial Economics.
9. Liu, Jing, Jack Hughes, and Jun Liu, 2007, Information, Diversification, and Asset Pricing , The Accounting Review.
10. Longstaff, Francis, Jun Liu, and Ravit E. Mandell, 2006, The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads, Journal of Business.
11. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare Event Premia, Review of Financial Studies.
12. Ang, Andrew, Geert Bekaert, and Jun Liu, 2005, Why Stocks May Disappoint, Journal of Financial Economics.
13. Bekaert, Geert, and Jun Liu, 2004, Conditional Information and Variance Bounds on Pricing Kernels , Review of Financial Studies.
14. Longstaff, Francis, and Jun Liu, 2004, Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, Review of Financial Studies.
15. Ang, Andrew, and Jun Liu, 2004, How to Discount Cashflows with Time-Varying Expected Returns, Journal of Finance.
16. Liu, Jun, and Jun Pan, 2003, Dynamic Asset Allocation with Event Risk , Journal of Finance.
17. Kahl, Matthias, Jun Liu, and Francis Longstaff, 2003, Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?, Journal of Financial Economics.
18. Longstaff, Francis, Jun Liu, and Jun Pan, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
19. Duffie, Darrell, and Jun Liu, 2001, Floating-Fixed Spreads, Financial Analysts Journal.
20. Ang, Andrew, and Jun Liu, 2001, A Generalized Earning Model of Stock Valuation, Review of Accounting Studies.
21. Jun Liu with Robert Arnott, Jason Hsu, and Harry Markowitz, Can Noise Create Size and Value Effects?.
22. Jun Liu with Andrew Ang, Using Stocks or Portfolios in Tests of Factor Models.
23. Jun Liu with Allan Timmermann, Optimal Trading Arbitrage Strategies.

Teaching Interests
Asset Pricing Theory,Chinese Economy: Theory and Practice (I)

Current Courses

Term Course
2015Fall Asset Pricing Theory
2015Fall Chinese Economy: Theory and Practice (I)
2016Fall Asset Pricing Theory
2016Fall Chinese Economy: Theory and Practice (I)
Faculty & Research
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