Qianqiu Liu

University of Hawaii at Manoa - Shidler College of Business

Associate Professor

2404 Maile Way, E602f

Honolulu, HI 96822

United States

SCHOLARLY PAPERS

14

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CITATIONS
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in Total Papers Citations

85

Scholarly Papers (14)

1.
Downloads 1,588 ( 10,256)
Citation 1

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 1,273 (14,279)

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return reversal, liquidity, cash flows, discount rate

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 315 (93,123)
Citation 1

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return reversal, liquidity

2.

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 894 (24,824)

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Short run reversal, liquidity, sentiment, fundamental news

3.

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 796 (29,197)
Citation 2

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52-week High, Momentum Investing, International Stock Markets

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
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
Downloads 669 (36,991)

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CAPM, portfolio optimization, systematic risk, time-series modeling

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 and Liang Zhang
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii - Shidler College of Business and University of Hawaii
Downloads 535 (48,960)
Citation 52

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return reversal, idiosyncratic risk, expected return

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 and Liang Zhang
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii - Shidler College of Business and University of Hawaii

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G12, C13

6.

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 220 (135,571)
Citation 13

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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 202 (146,959)

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Momentum, Reversal, Seasonality

8.

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 and Liang Zhang
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii - Shidler College of Business and University of Hawaii
Downloads 165 (176,354)

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Listed Penny Stocks, Asset Pricing Model, Trading Strategies, Short- Sale Constraints, Limits-to-Arbitrage, Institutional Ownership, Idiosyncratic Volatility

9.

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 and Liang Zhang
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii - Shidler College of Business and University of Hawaii
Downloads 148 (193,255)
Citation 11

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idiosyncratic volatility, return reversals

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 - Shidler College of Business and University of Macau - Faculty of Business Administration
Downloads 132 (211,888)
Citation 6

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Extreme Downside Risk, Generalized Extreme Value Distribution, Idiosyncratic Volatility, Bankruptcy Risk

11.

An Analysis of the Magnet Effect under Price Limits

International Review of Finance, Vol. 9, Issue 1-2, pp. 83-110, March/June 2009
Number of pages: 28 Posted: 08 Jun 2009
Daphne Yan Du, Qianqiu Liu and S. Ghon Rhee
affiliation not provided to SSRN, University of Hawaii at Manoa - Shidler College of Business and University of Hawaii - Shidler College of Business
Downloads 1 (633,036)
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12.

The Low Volatility Anomaly in Australian Stock Returns

30th Australasian Finance and Banking Conference 2017
Posted: 09 Oct 2017 Last Revised: 21 Sep 2018
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 - Shidler College of Business and UNSW Australia Business School, School of Banking and Finance

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Returns anomaly, realized volatility, CAPM, factor models

13.

Another Look at Idiosyncratic Volatility and Expected Returns

Journal Of Investment Management (JOIM), Fourth Quarter 2011
Posted: 25 May 2012
affiliation not provided to SSRN, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii - Shidler College of Business and affiliation not provided to SSRN

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Idiosyncratic volatility, January effect, return reversals

14.

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

Abstract:

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Stock-bond correlation, unemployment news, stock market reaction, information in macroeconomic announcements, state of the economy