刘俊 顾问

刘俊，西南财经大学金融研究院顾问

2000年，美国斯坦福大学，金融学博士

1988年，美国德克萨斯大学奥斯丁分校，物理学博士

1982年，北京大学，物理学学士

刘俊，西南财经大学金融研究院教授委员会主席，美国加州大学圣地亚哥分校管理学院终身教授。2000年获得美国斯坦福大学金融学博士学位。在加州大学圣地亚哥管理学院任教之前，他于1999至2005年曾担任加州大学洛杉矶分校管理学院助理教授。刘俊教授的研究领域为理论和实证资产定价、计量经济学方法的发展和运用等。刘俊教授目前已在国际顶尖金融学期刊上发表了十余篇论文，其中包括Journal of Finance， Review of Financial Studies， Journal of Financial Economics，Journal of Business, Review of Accounting Studies, Accounting Review, 以及Financial Analyst Journal 等。他的论文在学术界和金融业界被广泛引用。

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.

工作论文

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.

四川省成都市青羊区光华村街55号,

西南财经大学金融研究院206室, 610074.

电话: +86（028）87099044

Email: junliu@ucsd.edu