中文版
Jun Liu
Professor of Finance, University of California, San Diego
  • PROFILE
  • RESEARCH
  • TEACHING
Jun Liu is a Special Term Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and a professor with tenure at the Rady School of Management at the University of California at San Diego. Professor Liu’s research interests include theoretical and empirical asset pricing, and econometrics. He has 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. His papers have been widely cited among both academics and practitioners in the finance industry. Professor Liu teaches Investment Analysis 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, 2014, Can Noise Create the Size and Value E ffects?, Management Science.
2. Liu, Jun, and Allan Timmermann, 2012, Optimal Convergence Trade Strategies, Review of Financial Studies.
3. Liu, Jun, Ehud Peleg, and Avanidhar Subrahmanyam, 2010, Information, Expected Utility, and Portfolio Choice, Journal of Financial and Quantitative Analysis.
4. Hughes, John, Jing Liu, and Jun Liu, 2009, On the relation between expected returns and implied cost of capital, Review of Accounting Studies.
5. Liu, John, and Mark Grinblatt, 2008, Debt Policy, Corporate Taxes, and Discount Rates, Journal of Economic Theory.
6. , 2007, Portfolio Selection in Stochastic Environments, Review of Financial Studies.
7. Ang, Andrew, and Jun Liu, 2007, Risk, Return and Dividends, Journal of Financial Economics.
8. Liu, Jing, Jack Hughes, and Jun Liu, 2007, Information, Diversification, and Asset Pricing , The Accounting Review.
9. 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.
10. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare Event Premia, Review of Financial Studies.
11. Ang, Andrew, Geert Bekaert, and Jun Liu, 2005, Why Stocks May Disappoint, Journal of Financial Economics.
12. Bekaert, Geert, and Jun Liu, 2004, Conditional Information and Variance Bounds on Pricing Kernels , Review of Financial Studies.
13. Longstaff, Francis, and Jun Liu, 2004, Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, Review of Financial Studies.
14. Ang, Andrew, and Jun Liu, 2004, How to Discount Cashflows with Time-Varying Expected Returns, Journal of Finance.
15. Liu, Jun, and Jun Pan, 2003, Dynamic Asset Allocation with Event Risk , Journal of Finance.
16. 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.
17. Longstaff, Francis, Jun Liu, and Jun Pan, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
18. Duffie, Darrell, and Jun Liu, 2001, Floating-Fixed Spreads, Financial Analysts Journal.
19. Ang, Andrew, and Jun Liu, 2001, A Generalized Earning Model of Stock Valuation, Review of Accounting Studies.
20. Jun Liu with Robert Arnott, Jason Hsu, and Harry Markowitz, Can Noise Create Size and Value Effects?.
21. Jun Liu with Andrew Ang, Using Stocks or Portfolios in Tests of Factor Models.
22. Jun Liu with Allan Timmermann, Optimal Trading Arbitrage Strategies.

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

Current Courses

Term Program Course Total Hours
2015Fall PHD Asset Pricing Theory 36
2015Fall MF Chinese Economy: Theory and Practice (I) 24
2016Fall PHD Asset Pricing Theory 36
2016Fall MF Chinese Economy: Theory and Practice (I) 24
Faculty & Research
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