5th Floor, West Tower, World Financial Centre
1 Dong San Huan Middle Road
Chaoyang District, Beijing 100020, China
Tel: +86 10 5081 5880
LIU, Jun
Visiting Professor
Email:
jliu@saif.sjtu.edu.cn
Support Staff:
邓如琪
Support Staff Email:
rqdeng@saif.sjtu.edu.cnResearch Interests
Theoretical and Empirical Asset Pricing, Econometrics.
Jun Liu is a Visiting Professor 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 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.
Journal Publications
1. Ang, Andrew, Jun Liu, and Krista Schwarz, 2020, Using Stocks or Portfolios in Tests of Factor Models, Journal of Financial and Quantitative Analysis.
3. Caskey, Judson, John S. Hughes, and Jun Liu, 2015, Strategic Informed Trades, Diversification, and Expected Returns, The Accounting Review.
2. Arnott, Robert D., Jason C. Hsu, Jun Liu, and Harry Markowitz, 2015, Can Noise Create the Size and Value Effects?, Management Science.
4. Liu, Jun, and Allan Timmermann, 2013, Optimal Convergence Trade Strategies, Review of Financial Studies.
5. Liu, Jun, Ehud Peleg, and Avanidhar Subrahmanyam, 2010, Information, Expected Utility, and Portfolio Choice, Journal of Financial and Quantitative Analysis.
6. Hughes, John, Jing Liu, and Jun Liu, 2009, On the relation between expected returns and implied cost of capital, Review of Accounting Studies.
7. Liu, Jun, and Mark Grinblatt, 2008, Debt Policy, Corporate Taxes, and Discount Rates, Journal of Economic Theory.
10. Hughes, John S., Jing Liu, and and Jun Liu, 2007, Information Asymmetry, Diversification, and Cost of Capital, The Accounting Review.
9. Ang, Andrew, and Jun Liu, 2007, Risk, Return and Dividends, Journal of Financial Economics.
8. Liu, Jun, 2007, Portfolio Selection in Stochastic Environments, Review of Financial Studies.
11. Liu, Jun, Francis A. Longstaff, and Ravit E. Mandell, 2006, The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks, Journal of Business.
13. Ang, Andrew, Geert Bekaert, and Jun Liu, 2005, Why Stocks May Disappoint, Journal of Financial Economics.
12. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.
16. Ang, Andrew, and Jun Liu, 2004, How to Discount Cashflows with Time-Varying Expected Returns, Journal of Finance.
15. Longstaff, Francis, and Jun Liu, 2004, Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, Review of Financial Studies.
14. Bekaert, Geert, and Jun Liu, 2004, Conditional Information and Variance Bounds on Pricing Kernels, Review of Financial Studies.
19. Liu, Jun, and Jun Pan, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
18. 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. Jun Liu, Francis A. Longstaff, Jun Pan, 2003, Dynamic Asset Allocation with Event Risk, Journal of Finance.
20. Duffie, Darrell, and Jun Liu, 2001, Floating-fixed credit spreads, Financial Analysts Journal.
21. Ang, Andrew, and Jun Liu, 2001, A General Affine Earnings Valuation Model, Review of Accounting Studies.
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5th Floor, West Tower, World Financial Centre
1 Dong San Huan Middle Road
Chaoyang District, Beijing 100020, China
Tel: +86 10 5081 5880
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