Hening Liu

University of Manchester - Alliance Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 27,162

SSRN RANKINGS

Top 27,162

in Total Papers Downloads

2,272

SSRN CITATIONS
Rank 24,366

SSRN RANKINGS

Top 24,366

in Total Papers Citations

35

CROSSREF CITATIONS

5

Scholarly Papers (13)

1.

Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns

Number of pages: 40 Posted: 26 Jul 2010 Last Revised: 15 Jan 2011
Hening Liu
University of Manchester - Alliance Manchester Business School
Downloads 416 (87,844)
Citation 3

Abstract:

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Hidden Markov model, Malliavin derivative, portfolio choice, recursive multiple priors

2.

Financial Uncertainty with Ambiguity and Learning

forthcoming, Management Science
Number of pages: 76 Posted: 10 May 2015 Last Revised: 06 Dec 2020
Hening Liu and Yuzhao Zhang
University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 399 (92,182)
Citation 2

Abstract:

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Ambiguity, business cycle, Markov switching, production-based asset pricing, uncertainty, variance risk premium

3.

Ambiguity Aversion and Under-diversification

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 25 Jan 2014 Last Revised: 27 Aug 2014
Massimo Guidolin and Hening Liu
Bocconi University - Department of Finance and University of Manchester - Alliance Manchester Business School
Downloads 333 (113,173)
Citation 3

Abstract:

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

4.

Ambiguity Aversion and Asset Prices in Production Economies

The Review of Financial Studies, Forthcoming
Number of pages: 47 Posted: 29 Feb 2012 Last Revised: 13 May 2014
Mohammad R. Jahan-Parvar and Hening Liu
Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 258 (147,955)
Citation 16

Abstract:

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Ambiguity aversion, Equity premium, Markov switching, Production economy, Smooth ambiguity

5.

Does Smooth Ambiguity Matter for Asset Pricing?

The Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 21 Dec 2017 Last Revised: 05 Oct 2018
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 157 (232,803)
Citation 1

Abstract:

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Ambiguity, Bayesian Estimation, Equity Premium, Markov-Switching, Long-Run Risk

6.

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo

Number of pages: 48 Posted: 06 May 2020 Last Revised: 24 Oct 2020
Andras Fulop, Jeremy Heng, Junye Li and Hening Liu
ESSEC Business School, affiliation not provided to SSRN, Fudan University - School of Management and University of Manchester - Alliance Manchester Business School
Downloads 141 (254,139)
Citation 3

Abstract:

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Asset Pricing, Long-Run Risk, Autoregressive Gamma Process, Log-linearization, Projection Methods, Particle Filters, Sequential Monte Carlo Sampler

7.

Early Resolution of Uncertainty: Evidence from Equity Options

Number of pages: 64 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 133 (265,976)

Abstract:

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

8.

Robust Consumption and Portfolio Choice for Time Varying Investment Opportunities

Number of pages: 28 Posted: 10 Sep 2009 Last Revised: 02 Aug 2010
Hening Liu
University of Manchester - Alliance Manchester Business School
Downloads 104 (317,165)
Citation 3

Abstract:

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robust control, recursive preferences, portfolio choice

9.

Does Smooth Ambiguity Matter for Asset Pricing?

FRB International Finance Discussion Paper No. 1221
Number of pages: 83 Posted: 22 Jan 2018 Last Revised: 29 Apr 2020
Pennsylvania State University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 85 (360,589)
Citation 6

Abstract:

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Ambiguity, Bayesian estimation, equity premium, Markov-switching, long-run risk

10.

Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles

Number of pages: 45 Posted: 07 Oct 2020 Last Revised: 16 Apr 2021
NEOMA Business School, NEOMA Business School, Sam Houston State University - Department of General Business and Finance and University of Manchester - Alliance Manchester Business School
Downloads 82 (368,398)

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Ambiguity aversion, debt conservatism, trade-off theory, market segmentation

11.

Measuring Ambiguity Aversion

FEDS Working Paper No. 2015-105
Number of pages: 48 Posted: 25 Nov 2015
Duke University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 63 (425,733)

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Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching

12.

A Real Options Asset Pricing Model With Seasonal Sales and Inventory Building

Number of pages: 52 Posted: 22 Mar 2021 Last Revised: 08 Apr 2021
Kevin Aretz, Hening Liu and Kevin Schneider
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School
Downloads 62 (429,177)

Abstract:

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Asset pricing, real options, seasonality in sales and stock prices, output inventories.

13.

Estimating and Testing Long-Run Risk Models: International Evidence

Number of pages: 51 Posted: 01 Jun 2021
Andras Fulop, Junye Li, Hening Liu and Cheng Yan
ESSEC Business School, Fudan University - School of Management, University of Manchester - Alliance Manchester Business School and University of Essex - Essex Business School
Downloads 39 (522,677)

Abstract:

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Consumption-based Asset Pricing, Long-Run Risks, Stochastic Discount Factor, Equity Premium Puzzle, Autoregressive Gamma Process, Projection Methods, Sequential Monte Carlo