Hong Liu

Washington University in St. Louis - Olin Business School

Associate Professor

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

China Academy of Financial Research (CAFR)

1954 Huashan Road

Shanghai P.R.China, 200030

China

SCHOLARLY PAPERS

28

DOWNLOADS
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6,922

CITATIONS
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SSRN RANKINGS

Top 3,327

in Total Papers Citations

164

Scholarly Papers (28)

1.

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 601 (32,928)
Citation 1

Abstract:

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

2.

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 549 (38,166)
Citation 30

Abstract:

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

3.

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 496 (43,334)
Citation 4

Abstract:

diversification, underdiversification, portfolio selection

4.

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 - Olin School of Business
Downloads 434 (49,317)
Citation 3

Abstract:

limited participation, saving, consumption, insurance

5.

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 433 (50,714)
Citation 21

Abstract:

Voluntary Retirement, Mandatory Retirement, Investment, Consumption

6.

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 431 (52,112)
Citation 2

Abstract:

Event Risk, Portfolio Selection, Transaction Costs

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 431 (52,112)
Citation 17

Abstract:

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

8.
Downloads 368 ( 64,821)
Citation 53

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 368 (64,192)
Citation 53

Abstract:

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:

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

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 University of Maryland - Robert H. Smith School of Business
Downloads 250 (99,363)

Abstract:

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

Asymmetric Information, Endogenous Illiquidity and Asset Pricing with Imperfect Competition

Number of pages: 45 Posted: 22 Nov 2009 Last Revised: 26 Dec 2010
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 110 (206,645)

Abstract:

Illiquidity, Asymmetric Information, Imperfect Competition, Welfare

10.

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 345 (68,052)
Citation 9

Abstract:

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

11.

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 322 (71,552)
Citation 20

Abstract:

Inattention, Predictability, Periodic News, Estimation Risk

12.

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 (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 288 (83,404)
Citation 1

Abstract:

Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

13.

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 253 (96,202)

Abstract:

14.

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 221 (111,201)
Citation 1

Abstract:

Predictability, Periodic Observation, Information Value, Estimation Risk

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 220 (109,738)

Abstract:

Crash, Illiquidity, Portfolio Selection

16.
Downloads 187 (132,730)
Citation 1

Market Closure and the Liquidity Premium Puzzle

Number of pages: 57 Posted: 14 Dec 2008 Last Revised: 02 Apr 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, 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 99 (222,931)
Citation 1

Abstract:

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 (NUS) - Department of Mathematics, 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 88 (241,270)
Citation 1

Abstract:

Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

17.

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 144 (161,366)

Abstract:

Executive Stock Options, Valuation

18.

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 (NUS) - Department of Mathematics, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 106 (204,354)
Citation 1

Abstract:

Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

19.

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 (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 91 (227,779)

Abstract:

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

20.

Short-Sale Constraints, Bid-Ask Spreads, and Information Acquisition

Number of pages: 38 Posted: 04 Apr 2013
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 89 (220,128)

Abstract:

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 University of Maryland - Robert H. Smith School of Business
Downloads 76 (224,639)

Abstract:

commonality in liquidity, bid-ask spread, asymmetric information

22.

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 (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 43 (318,794)

Abstract:

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

23.

A Portfolio Rebalancing Theory of Disposition Effect

Number of pages: 49 Posted: 06 Apr 2015 Last Revised: 04 Feb 2016
Min Dai, Hong Liu and Jing Xu
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 40 (166,095)

Abstract:

Disposition Effect, Portfolio Selection, Transaction Costs, Wealth Constraints

24.

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 - School of International Business Administration and Institute for the Study of Labor (IZA)
Downloads 6 (492,470)

Abstract:

rural China, health insurance, social learning, social effect

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 0 (324,596)

Abstract:

pension income, health, channels, elderly, China

26.

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

Abstract:

27.

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

Abstract:

28.

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

Abstract: