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Jun Liu Deputy Director
2017-06-26 13:23

 Jun Liu, Deputy Director of Institute of Financial Studies,

Southwestern University of Finance and Economics

Educational Background
Ph.D. in Finance, Stanford University, 2000
Ph.D. in Physics, the University of Texas at Austin, 1988
B.S. in Physics, Peking University, 1982

Research Interests
Theoretical and Empirical Asset Pricing, Econometrics

Professor Liu is a professor with tenure at the Rady School of Management at the University of California at San Diego. He received his Ph.D. in finance from Stanford University in 2000. Prior to coming to UCSD, he served as an assistant professor at UCLA's Anderson School of Management from 1999 to 2005. Dr. Liu's research interests are theoretical and empirical asset pricing, and the development and use of econometric methods. Dr. Liu teaches finance courses for the Flex MBA and Full-Time MBA programs at the Rady School.

Professor Liu has published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, as well as Journal of Business, Review of Accounting Studies, Accounting Review, and Financial Analyst Journal. His papers have been widely cited among both academics and practitioners in the finance industry.

Awards and Honors 
Michael Brennan Award for the best paper, Review of Financial Studies, 2005.

Articles Published or Accepted
1. "Floating-Fixed Spreads" (with Darrell Duffie), Financial Analyst Journal, May/June, 2001.
2. "A Generalized Earning Model of Stock Valuation" (with Andrew Ang), Review of Accounting Studies, V6, n4, December, 2001.
3. "Dynamic Asset Allocation with Event Risk" (with Francis Longstaff and Jun Pan), Journal of Finance, v58, n1, 231-259, February, 2003.
4. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?" (with Matthias Kahl and Francis Longstaff), Journal of Financial Economics, v67, n3, 385-410, March 2003.
5. "Dynamic Derivative Strategies" (with Jun Pan), Journal of Financial Economics, v69, n3, 401-430, September, 2003.
6. "Conditional Information and Variance Bounds on Pricing Kernels" (with Geert Bekaert), Review of Financial Studies, v17, n2, 339-378, Summer, 2004.
7. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" (with Francis Longstaff), Review of Financial Studies, v17, n3, 611-641, Fall, 2004.
8. "How to Discount Cashflows with Time-Varying Expected Returns" (with Andrew Ang), Journal of Finance, v59, n6, 2745-2783, December, 2004.
9. "An Equilibrium Model of Rare Event Premia" (with Jun Pan and TanWang), Review of Financial Studies, v18, n1, 131-164, Spring, 2005.
10. "Why Stocks May Disappoint" (with Andrew Ang and Geert Bekaert), Journal of Financial Economics, v76, n3, 471-508, June, 2005.
11. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks" (with Francis Longstaff and Ravit E. Mandell), Journal of Business, v79, n5, 2337-2359, September, 2006.
12. "Portfolio Selection in Stochastic Environments", Review of Financial Studies, v20, n1, 1-39, January, 2007
13. "Risk, Return and Dividends" (with Andrew Ang), forthcoming, Journal of Financial Economics.
14. "Private Information, Diversification, and Asset Pricing" (with Jing Liu and Jack Hughes), forthcoming,Accounting Review.

Working Papers
1. "Does Noise Create the Size and Value Effects?" (with Robert Arnott, Jason Hsu and Harry Markowitz)
2. "Density-Based Inference of Jump-Diffusion Processes" (with Jun Pan and Lasse Pedersen), revise-resubmit, Journal of Econometrics, 2002.
3. "Debt Policy, Corporate Taxes, and Discount Rates" (with Mark Grinblatt), submitted, 2004. revise-resubmit, Journal of Economic Theory.
4. "Endogenous Retirement and Portfolio Choice" (with Eric Neis), working paper, 2002.
5. "The Value of Private Information" (with Ehud Peleg and Avanidhar Subrahmanyam), working paper,2004

Contact Information
Rm.206, Institute of Financial Studies (IFS)
Southwestern University of Finance and Economics (SWUFE)
No. 55, Guanghuacun Street, Chengdu, Sichuan, P.R. China, 610074
Office:+86 28 87099044 
Email: junliu@ucsd.edu