Prof. Jun Liu, Advisor of Institute of Financial Studies (IFS)
Pro. Jun Liu, from University of California, San Diego, is one of the Changjiang scholar and the tenured professor of University of California, San Diego. Liu received his Ph.D. in finance from Stanford University in 2000. Prior to coming to Rady School, he served as an assistant professor at UCLA’s Anderson School of Management from 1999 to 2005. Liu's research focuses on theoretical and empirical asset pricing, and the development and use of econometric methods.
Ph.D. in Finance, January 2000, Stanford University.
Ph.D. in Physics, September 1988, the University of Texas at Austin.
B.S. in Physics, September 1982, Peking University.
Theoretical and empirical asset pricing, econometrics, etc.
First Place, Higher Mathematics Contest of Peking University, 1981.
Blackett Scholarship, Erice International School of Subnuclear Physics, 1986.
BGI/Michael Brennan Best Paper Award, Review of Financial Studies, 2005.
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.
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
Institute of Financial Studies
Southwestern University of Finance & Economics
No 55, Guanghuacun Street, Chengdu 610074, China