Jun Liu
Personal Details
First Name: | Jun |
Middle Name: | |
Last Name: | Liu |
Suffix: | |
RePEc Short-ID: | pli926 |
[This author has chosen not to make the email address public] | |
Affiliation
(74%) Shanghai Advanced Institute of Finance (SAIF)
Shanghai Jiao Tong University
Shanghai, Chinahttp://www.saif.sjtu.edu.cn/
RePEc:edi:ifsjtcn (more details at EDIRC)
(25%) Southwestern University of Finance and Economics (SWUFE)
Chengdu, Chinahttp://www.swufe.edu.cn/
RePEc:edi:swufecn (more details at EDIRC)
(1%) Rady School of Management
University of California-San Diego (UCSD)
La Jolla, California (United States)https://rady.ucsd.edu/
RePEc:edi:smucsus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Timmermann, Allan & Liu, Jun, 2009. "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers 7188, C.E.P.R. Discussion Papers.
- Andrew Ang & Jun Liu, 2007.
"Risk, Return and Dividends,"
NBER Working Papers
12843, National Bureau of Economic Research, Inc.
- Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic Derivative Strategies,"
Working papers
4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc.
- Matthias Kahl & Jun Liu & Francis A. Longstaff, 2002.
"Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?,"
NBER Working Papers
8969, National Bureau of Economic Research, Inc.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003. "Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?," Journal of Financial Economics, Elsevier, vol. 67(3), pages 385-410, March.
- Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc.
- Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Mark Grinblatt & Jun Liu, 2002.
"Debt Policy, Corporate Taxes, and Discount Rates,"
NBER Working Papers
9353, National Bureau of Economic Research, Inc.
- Grinblatt, Mark & Liu, Jun, 2008. "Debt policy, corporate taxes, and discount rates," Journal of Economic Theory, Elsevier, vol. 141(1), pages 225-254, July.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002.
"Dynamic Asset Allocation With Event Risk,"
NBER Working Papers
9103, National Bureau of Economic Research, Inc.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
- Andrew Ang & Geert Bekaert & Jun Liu, 2000.
"Why Stocks May Disappoint,"
NBER Working Papers
7783, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
- Geert Bekaert & Jun Liu, 1999.
"Conditioning Information and Variance Bounds on Pricing Kernels,"
NBER Working Papers
6880, National Bureau of Economic Research, Inc.
- Geert Bekaert, 2004. "Conditioning Information and Variance Bounds on Pricing Kernels," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 339-378.
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Articles
- Jun Liu & Allan Timmermann, 2013. "Optimal Convergence Trade Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 26(4), pages 1048-1086.
- Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2010. "Information, Expected Utility, and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(5), pages 1221-1251, October.
- Grinblatt, Mark & Liu, Jun, 2008.
"Debt policy, corporate taxes, and discount rates,"
Journal of Economic Theory, Elsevier, vol. 141(1), pages 225-254, July.
- Mark Grinblatt & Jun Liu, 2002. "Debt Policy, Corporate Taxes, and Discount Rates," NBER Working Papers 9353, National Bureau of Economic Research, Inc.
- Ang, Andrew & Liu, Jun, 2007.
"Risk, return, and dividends,"
Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
- Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
- Jun Liu, 2007. "Portfolio Selection in Stochastic Environments," The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 1-39, January.
- Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
- Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005.
"Why stocks may disappoint,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
- Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
- Jun Liu, 2005. "An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 131-164.
- Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003.
"Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?,"
Journal of Financial Economics, Elsevier, vol. 67(3), pages 385-410, March.
- Matthias Kahl & Jun Liu & Francis A. Longstaff, 2002. "Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?," NBER Working Papers 8969, National Bureau of Economic Research, Inc.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic derivative strategies,"
Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Wu-Index
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FMK: Financial Markets (4) 2000-07-11 2002-06-18 2002-08-16 2007-01-28
- NEP-CFN: Corporate Finance (2) 2002-11-28 2003-11-30
- NEP-ECM: Econometrics (1) 1999-02-08
- NEP-IAS: Insurance Economics (1) 2002-08-08
- NEP-RMG: Risk Management (1) 2007-01-28
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