Author Page for Qianqiu Liu

Decomposing Short-Term Return Reversal

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Citation 10

2

Decomposing Short-Term Return Reversal

Number of pages: 44 Posted: 12 Feb 2010 Last Revised: 30 Aug 2011

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 1,509 (26,483)

Citation 4

Abstract:

Decomposing Short-Term Return Reversal

FRB of New York Staff Report No. 513

Number of pages: 45 Posted: 13 Sep 2011

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 720 (75,315)

Citation 6

Abstract:

2.

The 52-Week High Momentum Strategy in International Stock Markets

Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204

Number of pages: 64 Posted: 22 Mar 2009 Last Revised: 26 May 2012

Ming Liu, Qianqiu Liu and Tongshu Ma

International University of Japan, University of Hawaii at Manoa - Shidler College of Business and Binghamton University

Downloads 1,171 (39,154)

Citation 14

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3.

Short-Term Return Reversal: The Long and the Short of It

AFA 2013 San Diego Meetings Paper

Number of pages: 35 Posted: 15 Mar 2012 Last Revised: 06 Dec 2012

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 1,093 (43,295)

Citation 2

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4.

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns

UNSW Australian School of Business Research Paper No. 2013 BFIN 07, FIRN Research Paper

Number of pages: 31 Posted: 06 Sep 2013 Last Revised: 27 Aug 2014

Tolga Cenesizoglu, Qianqiu Liu, Jonathan J. Reeves and Haifeng Wu

HEC Montreal - Department of Finance, University of Hawaii at Manoa - Shidler College of Business, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance

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Citation 6

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5.

Return Reversals, Idiosyncratic Risk, and Expected Returns

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Citation 46

2

Return Reversals, Idiosyncratic Risk, and Expected Returns

Review of Financial Studies, Forthcoming

Number of pages: 37 Posted: 13 Jan 2009

Wei Huang, Qianqiu Liu, S. Ghon Rhee, Liang Zhang and Liang Zhang

University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of HawaiiUniversity of Melbourne

Downloads 682 (80,724)

Citation 46

Abstract:

Return Reversals, Idiosyncratic Risk, and Expected Returns

The Review of Financial Studies, Vol. 23, Issue 1, pp. 147-168, 2010

Posted: 25 Jan 2010

Wei Huang, Qianqiu Liu, S. Ghon Rhee, Liang Zhang and Liang Zhang

University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of HawaiiUniversity of Melbourne

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6.

Limits-to-Arbitrage in US Penny Stocks: An Overlooked Segment of US Equity Markets

Asian Finance Association (AsianFA) 2015 Conference Paper

Number of pages: 36 Posted: 15 Feb 2015

Qianqiu Liu, S. Ghon Rhee, Liang Zhang and Liang Zhang

University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of HawaiiUniversity of Melbourne

Downloads 355 (179,901)

Citation 1

Abstract:

7.

Momentum is Really Short-Term Momentum

Journal of Banking and Finance, Forthcoming

Number of pages: 49 Posted: 30 Oct 2014

Qiang Gong, Ming Liu and Qianqiu Liu

Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, International University of Japan and University of Hawaii at Manoa - Shidler College of Business

Downloads 354 (180,928)

Citation 2

Abstract:

8.

Beta Measurement and Forecasting with High Frequency Returns

Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 11 Apr 2021

Bao Huy Doan, John B. Lee, Qianqiu Liu and Jonathan J. Reeves

University of New South Wales, University of Auckland Business School, University of Hawaii at Manoa - Shidler College of Business and UNSW Business School, University of New South Wales

Downloads 313 (206,021)

Citation 1

Abstract:

9.

On Portfolio Optimization: How and When Do We Benefit from High-Frequency Data?

Journal of Applied Econometrics, Vol. 24, No. 4, 2009, 560-582

Number of pages: 34 Posted: 26 Feb 2009 Last Revised: 26 May 2012

Qianqiu Liu

University of Hawaii at Manoa - Shidler College of Business

Downloads 302 (214,053)

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10.

Extreme Downside Risk and Expected Stock Returns

Journal of Banking and Finance, Vol. 36, No. 5, 2012, 1492-1502

Number of pages: 34 Posted: 22 Mar 2009 Last Revised: 17 May 2012

Wei Huang, Qianqiu Liu, S. Ghon Rhee and Feng Wu

University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of Macau - Faculty of Business Administration

Downloads 267 (243,285)

Citation 10

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11.

Another Look at Idiosyncratic Volatility and Expected Returns

Journal of Investment Management, Vol. 9, No. 4, 2011, 26-51

Number of pages: 48 Posted: 20 Mar 2009 Last Revised: 19 May 2012

Wei Huang, Qianqiu Liu, S. Ghon Rhee, Liang Zhang and Liang Zhang

University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of HawaiiUniversity of Melbourne

Downloads 240 (270,618)

Citation 15

Abstract:

12.

One Country, Two Calendars: Lunar January Effect in China’s A-share Stock Market

Forthcoming at Asia-Pacific Journal of Financial Studies

Number of pages: 59 Posted: 19 Sep 2022

Xiaobo Liang, Qianqiu Liu and Allan A. Zebedee

University of Hawaii at Manoa, Shidler College of Business, Students, University of Hawaii at Manoa - Shidler College of Business and Clarkson University

Downloads 96 (582,521)

Abstract:

13.

One Country, Two Calendars: An Examination of China's A-Share Stock Market

Number of pages: 61 Posted: 18 Feb 2022

Xiaobo Liang, Qianqiu Liu and Allan A. Zebedee

University of Hawaii at Manoa, Shidler College of Business, Students, University of Hawaii at Manoa - Shidler College of Business and Clarkson University

Downloads 71 (695,664)

Abstract:

14.

The Low Volatility Anomaly in Australian Stock Returns

30th Australasian Finance and Banking Conference 2017

Posted: 09 Oct 2017 Last Revised: 21 Sep 2018

Joshua Bay, Qianqiu Liu, Jonathan J. Reeves, S. Ghon Rhee and Haifeng Wu

University of New South Wales (UNSW), School of Banking and Finance, Students, University of Hawaii at Manoa - Shidler College of Business, UNSW Business School, University of New South Wales, University of Hawaii at Manoa - Shidler College of Business and UNSW Australia Business School, School of Banking and Finance

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15.

Another Look at Idiosyncratic Volatility and Expected Returns

Journal Of Investment Management (JOIM), Fourth Quarter 2011

Posted: 25 May 2012

Victor Huang, Qianqiu Liu, S. Ghon Rhee and Liang Zhang

affiliation not provided to SSRN, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and affiliation not provided to SSRN

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16.

The Stock Market's Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006

Posted: 29 Nov 2006

John H. Boyd, Qianqiu Liu and Ravi Jagannathan

University of Minnesota - Twin Cities - Carlson School of Management, University of Hawaii at Manoa - Shidler College of Business and Northwestern University - Kellogg School of Management

Qianqiu Liu

University of Hawaii at Manoa - Shidler College of Business

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Scholarly Papers (16)

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