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

34

DOWNLOADS
Rank 4,865

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Top 4,865

in Total Papers Downloads

9,338

SSRN CITATIONS
Rank 5,407

SSRN RANKINGS

Top 5,407

in Total Papers Citations

150

CROSSREF CITATIONS

80

Scholarly Papers (34)

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
University of Denver - Daniels College 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 1,607 (11,944)
Citation 12

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 647 (45,028)
Citation 3

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

3.

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 587 (51,146)
Citation 7

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

4.

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 544 (56,339)
Citation 5

Abstract:

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diversification, underdiversification, portfolio selection

5.

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 514 (60,498)
Citation 4

Abstract:

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limited participation, saving, consumption, insurance

6.

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 466 (68,293)
Citation 6

Abstract:

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Voluntary Retirement, Mandatory Retirement, Investment, Consumption

7.

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 466 (68,293)
Citation 23

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

8.

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 463 (68,874)
Citation 4

Abstract:

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Event Risk, Portfolio Selection, Transaction Costs

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 269 (126,520)

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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 146 (223,219)
Citation 8

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Illiquidity, Asymmetric Information, Imperfect Competition, Welfare

10.
Downloads 395 ( 83,095)
Citation 73

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 395 (82,357)
Citation 73

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

Abstract:

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

11.

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 362 (91,991)
Citation 5

Abstract:

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

12.

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 353 (94,729)
Citation 4

Abstract:

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Inattention, Predictability, Periodic News, Estimation Risk

13.

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, National University of Singapore and National University of Singapore (NUS)
Downloads 315 (107,544)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

14.

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 270 (126,686)

Abstract:

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15.

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 242 (141,590)

Abstract:

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Crash, Illiquidity, Portfolio Selection

16.

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 233 (146,812)
Citation 1

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Predictability, Periodic Observation, Information Value, Estimation Risk

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: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore, 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 128 (248,055)
Citation 7

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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
National University of Singapore, 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 103 (290,801)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

18.

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
National University of Singapore, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 227 (150,591)

Abstract:

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disposition effect, portfolio rebalancing, learning, transaction costs

19.

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 169 (197,043)

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Executive Stock Options, Valuation

20.

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 126 (250,005)
Citation 2

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

21.

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 126 (250,005)

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commonality in liquidity, bid-ask spread, asymmetric information

22.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin and Hong Liu
National University of Singapore, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 117 (264,300)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

23.

Index Investing and Price Discovery

Number of pages: 38 Posted: 22 Apr 2018 Last Revised: 27 May 2018
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 110 (276,078)
Citation 1

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24.

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
National University of Singapore, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 107 (281,392)

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

25.

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
Nanjing University, Washington University in St. Louis - Olin Business School, Nanjing University - School of Business and Institute for the Study of Labor (IZA)
Downloads 68 (371,096)
Citation 3

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pension income, health, channels, elderly, China

26.

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
National University of Singapore, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 65 (379,872)
Citation 1

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

27.

Recovering the FOMC Risk Premium

Number of pages: 45 Posted: 16 Apr 2020
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 64 (382,874)

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Options, FOMC Meeting, Jumps, Recovery

28.

Fast or Slow: Optimal Trading Strategies with Speed-Dependent Transaction Cost

Number of pages: 57 Posted: 18 Aug 2018 Last Revised: 15 Jun 2020
Hong Liu and Jing Xu
Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 29 (523,238)

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Portfolio Choice, Transaction Cost, Liquidation, Acquisition

29.

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
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 18 (591,353)
Citation 1

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rural China, health insurance, social learning, social effect

30.

Optimal Consumption and Investment with Cointegrated Stock and Housing Markets

Number of pages: 47
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore, National University of Singapore (NUS) and Washington University in St. Louis - Olin Business School
Downloads 2

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Nonparticipation, cointegration, housing, stock investment

31.

A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

Mathematical Finance, Vol. 10, No. 3, July 2000
Posted: 12 Oct 2000
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department

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32.

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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33.

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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34.

Optimal Tax-Timing Strategy in the Presence of Transaction Costs

Min Dai, Hong Liu and Yaoting Lei
National University of Singapore, Washington University in St. Louis - Olin Business School and Nanchang University - School of Economics and Management

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