Hong Liu

Washington University in St. Louis - Olin Business School

Fossett Distinguished Professor of Finance

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

Fudan University - China Institute of Economics and Finance

China

SCHOLARLY PAPERS

41

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14,279

SSRN CITATIONS
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SSRN RANKINGS

Top 4,204

in Total Papers Citations

343

CROSSREF CITATIONS

81

Scholarly Papers (41)

1.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Baylor University - Hankamer School of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,532 (10,339)
Citation 14

Abstract:

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Bitcoin, Cryptocurrency, Technical Analysis

2.

Managerial Preferences, Corporate Governance, and Financial Structure

Number of pages: 46 Posted: 17 Mar 2006
Hong Liu and Jianjun Miao
Washington University in St. Louis - Olin Business School and Boston University - Department of Economics
Downloads 738 (64,366)
Citation 3

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Managerial/entrepreneurial characteristics, ownership and capital structure, private benefits of control, corporate governance

3.

Recovering the FOMC Risk Premium

Number of pages: 61 Posted: 16 Apr 2020 Last Revised: 25 Apr 2022
Hong Liu, Xiaoxiao Tang and Guofu Zhou
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 696 (69,279)
Citation 21

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Options, FOMC Meeting, Risk Premium, Drift, Recovery

4.

Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors

Number of pages: 48 Posted: 03 Jan 2023 Last Revised: 05 Mar 2024
Washington University in St. Louis - Olin Business School, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 623 (79,783)

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Out-of-sample predictability, equity risk premium, option-implied information, recovery

5.

Liquidity Premia and Transactions Costs

AFA 2006 Boston Meetings Paper
Number of pages: 58 Posted: 18 Mar 2005
Washington University in St. Louis - Olin Business School, Pohang University of Science and Technology (POSTECH), Ajou University - Department of Business Administration and University of Maryland - Robert H. Smith School of Business
Downloads 622 (79,965)
Citation 10

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Liquidity, Liquidity risk, Investment, Consumption, Equity-Premium Puzzle

6.

Portfolio Insurance and Underdiversification

AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 17 Mar 2008 Last Revised: 11 Sep 2009
Hong Liu
Washington University in St. Louis - Olin Business School
Downloads 587 (85,974)
Citation 5

Abstract:

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diversification, underdiversification, portfolio selection

7.

Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance

Journal of Financial Economics (JFE), Vol. 96, No. 2, 2010, AFA 2009 San Francisco Meetings Paper
Number of pages: 42 Posted: 17 Mar 2006 Last Revised: 17 Jun 2014
Todd A. Gormley, Hong Liu and Guofu Zhou
Washington University in St. Louis, Washington University in St. Louis - Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 571 (89,075)
Citation 5

Abstract:

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limited participation, saving, consumption, insurance

8.

An Analysis of Var-Based Capital Requirements

AFA 2004 San Diego Meetings
Number of pages: 49 Posted: 02 Dec 2003
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department
Downloads 567 (90,058)
Citation 23

Abstract:

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Capital requirements, Basel Capital Accord, Internal Models Approach, Precommitment Approach, VaR, portfolio constraints.

Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition

AFA 2011 Denver Meetings Paper
Number of pages: 45 Posted: 22 Mar 2010 Last Revised: 26 Dec 2010
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 312 (177,821)

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Illiquidity, Bid-Ask Spread, Asymmetric Information, Imperfect Competition, Welfare

Market Making with Asymmetric Information and Inventory Risk

Journal of Economic Theory, Vol. 163, 2016
Number of pages: 55 Posted: 22 Nov 2009 Last Revised: 30 Aug 2017
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 213 (260,934)
Citation 7

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Illiquidity, Asymmetric Information, Imperfect Competition, Welfare

10.

Optimal Portfolio Selection with Transaction Costs and 'Event Risk'

AFA 2008 New Orleans Meetings Paper
Number of pages: 36 Posted: 05 Mar 2007
Hong Liu and Mark Loewenstein
Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 523 (99,335)
Citation 4

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Event Risk, Portfolio Selection, Transaction Costs

11.

Lifetime Consumption and Investment: Retirement and Constrained Borrowing

Journal of Economic Theory, Forthcoming, AFA 2005 Philadelphia Meetings Paper
Number of pages: 33 Posted: 13 Jan 2005 Last Revised: 10 Apr 2010
Hong Liu and Philip H. Dybvig
Washington University in St. Louis - Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 519 (100,298)
Citation 32

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Voluntary Retirement, Mandatory Retirement, Investment, Consumption

12.
Downloads 483 (109,490)
Citation 79

So What Orders Do Informed Traders Use?

Number of pages: 54 Posted: 13 Oct 2004
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School
Downloads 483 (108,279)
Citation 79

Abstract:

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market microstructure, limit orders, market orders, informed trader, equilibria

So What Orders Do Informed Traders Use?

Journal of Business, Forthcoming
Posted: 31 May 2005
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School

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market microstructure, limit orders, market orders, informed trader, equilibria

13.

Equilibrium Forward Contracts on Nonstorable Commodities in the Presence of Market Power

Number of pages: 43 Posted: 22 Nov 2003
Hong Liu and Lingxiu Dong
Washington University in St. Louis - Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 407 (133,854)
Citation 5

Abstract:

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Forward Contract, Open Interest, Nonstorable, Electricity, Market Power

14.

Rational Inattention and Portfolio Selection

Journal of Finance, Forthcoming
Number of pages: 66 Posted: 23 Mar 2006
Hong Liu and Lixin Huang
Washington University in St. Louis - Olin Business School and Georgia State University
Downloads 393 (139,263)
Citation 17

Abstract:

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Inattention, Predictability, Periodic News, Estimation Risk

15.

Illiquidity, Portfolio Constraints, and Diversification

Number of pages: 44 Posted: 21 Mar 2008
Hong Liu, Min Dai and Hanqing Jin
Washington University in St. Louis - Olin Business School, The Hong Kong Polytechnic University and National University of Singapore (NUS)
Downloads 356 (155,477)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 20 Apr 2022
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 171 (318,673)
Citation 17

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 28 May 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 139 (379,131)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

17.

Optimal Investment and Consumption with Fixed and Proportional Transaction Costs

Number of pages: 30 Posted: 06 Dec 2000
Hong Liu
Washington University in St. Louis - Olin Business School
Downloads 301 (185,975)

Abstract:

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18.

Earnings Announcements: Ex-Ante Risk Premia

Number of pages: 54 Posted: 31 Jan 2023 Last Revised: 28 Nov 2023
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 295 (189,982)

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Earnings, risk premia, post-earnings drift, option market, straddles

19.

Multiple Birds, One Stone: Can Portfolio Rebalancing Contribute to Disposition Effect-related Trading Patterns?

Number of pages: 47 Posted: 06 Apr 2015 Last Revised: 30 Jan 2019
Min Dai, Hong Liu and Jing Xu
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 277 (202,739)

Abstract:

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disposition effect, portfolio rebalancing, learning, transaction costs

20.

Event Risks, Illiquidity, and Portfolio Selection

Number of pages: 37 Posted: 17 Dec 2009
Hong Liu and Mark Loewenstein
Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 273 (205,706)

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Crash, Illiquidity, Portfolio Selection

21.

Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables

AFA 2004 San Diego Meetings
Number of pages: 39 Posted: 29 Nov 2003
Hong Liu and Lixin Huang
Washington University in St. Louis - Olin Business School and Georgia State University
Downloads 263 (213,498)
Citation 1

Abstract:

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Predictability, Periodic Observation, Information Value, Estimation Risk

22.

Mapping Causes to Consequences: The Impact of Indexing

Number of pages: 44 Posted: 22 Apr 2018 Last Revised: 14 Nov 2023
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 241 (232,778)
Citation 1

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Indexing, Information Acquisition, Risk Premium, Capital Allocation, Correlations, Welfare

23.

Impact of China's Urban Resident Basic Medical Insurance on Health Care Utilization and Expenditure

IZA Discussion Paper No. 6768
Number of pages: 36 Posted: 06 Oct 2012 Last Revised: 16 Apr 2023
Hong Liu, Hong Liu and Zhong Zhao
Washington University in St. Louis - Olin Business School, Central University of Finance and Economics (CUFE) and Institute for the Study of Labor (IZA)
Downloads 238 (235,648)
Citation 14

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health care utilization, health insurance, health expenditure, urban China

24.

Inattention, Forced Exercise, and the Valuation of Executive Stock Options

Number of pages: 24 Posted: 17 Mar 2008 Last Revised: 14 May 2014
Hong Liu, Ohad Kadan and Jun Yang
Washington University in St. Louis - Olin Business School, Washington University in St. Louis - John M. Olin Business School and Indiana University - Kelley School of Business - Department of Finance
Downloads 219 (255,059)

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Executive Stock Options, Valuation

25.

Asset Pricing Implications of Short-sale Constraints in Imperfectly Competitive Markets

Management Science, 2019, 65 (9), 4422-4439
Number of pages: 60 Posted: 04 Apr 2013 Last Revised: 12 Aug 2020
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 171 (318,900)
Citation 5

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Short-sale Constraints, Bid-Ask Spread, Information Acquisition, Imperfect Competition, Welfare

26.

A Theory of Correlated-Demand Driven Liquidity Commonality

Number of pages: 48 Posted: 19 Mar 2012 Last Revised: 02 Apr 2013
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 166 (327,133)

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commonality in liquidity, bid-ask spread, asymmetric information

27.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Washington University in St. Louis - Olin Business School
Downloads 149 (358,098)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

28.

Optimal Consumption and Investment with Cointegrated Stock and Housing Markets

Number of pages: 47 Posted: 02 Dec 2020
National University of Singapore (NUS) - Department of Mathematics, The Hong Kong Polytechnic University, Georgia Institute of Technology and Washington University in St. Louis - Olin Business School
Downloads 138 (380,499)

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Nonparticipation, cointegration, housing, stock investment

29.

Optimal Tax-Timing Strategy in the Presence of Transaction Costs

Number of pages: 39 Posted: 05 Jan 2021 Last Revised: 24 Jun 2022
Min Dai, Yaoting Lei and Hong Liu
The Hong Kong Polytechnic University, Nanchang University - School of Economics and Management and Washington University in St. Louis - Olin Business School
Downloads 136 (384,854)
Citation 1

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portfolio choice, capital gains tax, transaction costs, year-end tax

30.

Is Capital Gains Tax Law Biased Against Low Income Investors?

Number of pages: 43 Posted: 20 Nov 2011 Last Revised: 30 Nov 2011
Min Dai, Hong Liu and Yifei Zhong
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 133 (391,743)

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Capital Gains Tax Law, Portfolio Selection, Consumption, Asymmetric Tax Rates

31.

Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

Forthcoming: Review of Financial Studies
Number of pages: 50 Posted: 15 Mar 2011 Last Revised: 21 Mar 2015
Min Dai, Hong Liu, Yang Chen and Yifei Zhong
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 129 (401,208)
Citation 3

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Capital Gains Tax, Tax Timing, Portfolio Selection, Asymmetric Tax Rates

32.

A Rational Theory for Disposition Effects

Review of Economic Dynamics, Forthcoming
Number of pages: 59 Posted: 08 Nov 2021 Last Revised: 09 May 2022
Min Dai, Yipeng Jiang, Hong Liu and Jing Xu
The Hong Kong Polytechnic University, National University of Singapore (NUS), Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 124 (413,450)
Citation 2

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disposition effect, portfolio rebalancing, learning, transaction costs

33.

Negative Information Revelation: Informed Sales Meet Short Sales

Number of pages: 78 Posted: 31 Jan 2023 Last Revised: 13 Jul 2023
Xi Dong, Hong Liu, Siyi Shen and Yajun Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Washington University in St. Louis - Olin Business School, The Chinese University of Hong Kong, Shenzhen - School of Management and Economics and City University of NY, Baruch College, Zicklin School of Business
Downloads 121 (420,936)

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Short-sale constraints, Information acquisition, Return predictability, Institutional trading, Market efficiency

34.

The Health Implications of Social Pensions: Evidence from China's New Rural Pension Scheme

IZA Discussion Paper No. 9621
Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 16 Apr 2023
Nanjing University, Washington University in St. Louis - Olin Business School, Nanjing University - School of Business and Institute for the Study of Labor (IZA)
Downloads 121 (420,936)
Citation 6

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pension income, health, channels, elderly, China

35.

Optimal Trading with Speed-Dependent Transaction Cost Rates: A Nonparametric Model

Number of pages: 42 Posted: 18 Aug 2018 Last Revised: 25 Mar 2024
Hong Liu, Shuaijie Qian and Jing Xu
Washington University in St. Louis - Olin Business School, Department of Mathematics, HKUST and Renmin University of China - School of Finance
Downloads 99 (490,123)

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Portfolio Choice, Transaction Cost, Liquidation, Acquisition

36.

Urban-Rural Disparities of Child Health and Nutritional Status in China from 1989 to 2006

IZA Discussion Paper No. 6528
Number of pages: 39 Posted: 12 May 2012 Last Revised: 16 Apr 2023
Hong Liu, Hong Liu, Hai Fang and Zhong Zhao
Washington University in St. Louis - Olin Business School, Central University of Finance and Economics (CUFE), University of Miami and Institute for the Study of Labor (IZA)
Downloads 65 (623,292)

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health and nutritional status, urban-rural disparities, child, China

37.

Parental Job Loss and Children’S Health: Ten Years after the Massive Layoff of the Soes’ Workers in China

IZA Discussion Paper No. 5846
Number of pages: 49 Posted: 24 Jul 2011 Last Revised: 16 Apr 2023
Hong Liu, Hong Liu and Zhong Zhao
Washington University in St. Louis - Olin Business School, Central University of Finance and Economics (CUFE) and Institute for the Study of Labor (IZA)
Downloads 63 (633,330)
Citation 3

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China, children’s health, Grossman’s model, job loss

38.

Inflation and Tax Timing

Number of pages: 60 Posted: 10 May 2023
Yaoting Lei, Hong Liu and Jing Xu
Nanchang University - School of Economics and Management, Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 60 (648,892)

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portfolio choice, inflation risk, capital gains tax, capital gains indexation

39.

Social Learning and Health Insurance Enrollment: Evidence from China's New Cooperative Medical Scheme

IZA Discussion Paper No. 7251
Number of pages: 41 Posted: 16 Mar 2013 Last Revised: 16 Apr 2023
Hong Liu, Qi Sun and Zhong Zhao
Washington University in St. Louis - Olin Business School, Shanghai University of Finance and Economics-College of Business and Institute for the Study of Labor (IZA)
Downloads 45 (737,862)
Citation 4

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rural China, health insurance, social learning, social effect

40.

Optimal Consumption of a Divisible Durable Good

Rodney L. White Center for Financial Research Working Paper No. 020-98
Posted: 22 Oct 1998
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department

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41.

Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?

Rodney L. White Center Working Paper No. 16-98
Posted: 10 Aug 1998
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School

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