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Jun Liu

This is information that was supplied by Jun Liu in registering through RePEc. If you are Jun Liu, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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First Name:Jun
Middle Name:
Last Name:Liu
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RePEc Short-ID:pli926
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  1. Liu, Jun & Timmermann, Allan G, 2009. "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers 7188, C.E.P.R. Discussion Papers.
  2. Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
  3. Garmaise, Mark J & Liu, Jun, 2005. "Corruption, Firm Governance, and the Cost of Capital," University of California at Los Angeles, Anderson Graduate School of Management qt29403706, Anderson Graduate School of Management, UCLA.
  4. Hughes, John S & Liu, Jing & Liu, Jun, 2005. "Information, Diversification, and Cost of Capital," University of California at Los Angeles, Anderson Graduate School of Management qt82j2d59r, Anderson Graduate School of Management, UCLA.
  5. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2004. "The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks," University of California at Los Angeles, Anderson Graduate School of Management qt5z42g22g, Anderson Graduate School of Management, UCLA.
  6. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2004. "The Value of Private Information," University of California at Los Angeles, Anderson Graduate School of Management qt71t9z3w3, Anderson Graduate School of Management, UCLA.
  7. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  8. Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc.
  9. 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.
  10. 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.
  11. Grinblatt, Mark & Liu, Jun, 2002. "Debt Policy, Corporate Taxes, and Discount Rates," University of California at Los Angeles, Anderson Graduate School of Management qt7dx622kj, Anderson Graduate School of Management, UCLA.
  12. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
  13. Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
  14. Liu, Jun, 2001. "Dynamic Choice and Risk Aversion," University of California at Los Angeles, Anderson Graduate School of Management qt36v1d9zg, Anderson Graduate School of Management, UCLA.
  15. Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
  16. Liu, Jun & Longstaff, Francis A, 2000. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," University of California at Los Angeles, Anderson Graduate School of Management qt48k8f97f, Anderson Graduate School of Management, UCLA.
  17. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  18. Geert Bekaert & Jun Liu, 1999. "Conditioning Information and Variance Bounds on Pricing Kernels," NBER Working Papers 6880, National Bureau of Economic Research, Inc.
  1. Jun Liu & Allan Timmermann, 2013. "Optimal Convergence Trade Strategies," Review of Financial Studies, Society for Financial Studies, vol. 26(4), pages 1048-1086.
  2. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2010. "Information, Expected Utility, and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1221-1251, October.
  3. Grinblatt, Mark & Liu, Jun, 2008. "Debt policy, corporate taxes, and discount rates," Journal of Economic Theory, Elsevier, vol. 141(1), pages 225-254, July.
  4. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  5. Jun Liu, 2007. "Portfolio Selection in Stochastic Environments," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 1-39, January.
  6. 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.
  7. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  8. Jun Liu, 2005. "An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 131-164.
  9. Andrew Ang & Jun Liu, 2004. "How to Discount Cashflows with Time-Varying Expected Returns," Journal of Finance, American Finance Association, vol. 59(6), pages 2745-2783, December.
  10. Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
  11. 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.
  12. 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, 02.
  13. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 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.
  1. NEP-FIN: Finance (4) 2000-07-11 2002-06-18 2002-08-16 2003-11-30. Author is listed
  2. NEP-FMK: Financial Markets (4) 2000-07-11 2002-06-18 2002-08-16 2007-01-28. Author is listed
  3. NEP-CFN: Corporate Finance (2) 2002-11-28 2003-11-30
  4. NEP-ECM: Econometrics (1) 1999-02-08
  5. NEP-IAS: Insurance Economics (1) 2002-08-08
  6. NEP-RMG: Risk Management (1) 2007-01-28
This author is among the top 5% authors according to these criteria:
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  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
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  16. Wu-Index

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