Hening Liu

The University of Manchester - Alliance Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

  • The University of Manchester - Alliance Manchester Business School

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 27,328

SSRN RANKINGS

Top 27,328

in Total Papers Downloads

3,273

SSRN CITATIONS
Rank 20,927

SSRN RANKINGS

Top 20,927

in Total Papers Citations

52

CROSSREF CITATIONS

5

Scholarly Papers (15)

Actions:
Email selected abstracts
1.

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
The University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 500 (98,543)
Citation 5

Abstract:

Loading...

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

2.

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
The University of Manchester - Alliance Manchester Business School
Downloads 436 (115,978)
Citation 3

Abstract:

Loading...

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

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, Dept. of Finance and The University of Manchester - Alliance Manchester Business School
Downloads 370 (139,933)
Citation 3

Abstract:

Loading...

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 The University of Manchester - Alliance Manchester Business School
Downloads 293 (179,607)
Citation 16

Abstract:

Loading...

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

5.

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, ESSEC Business School, Fudan University - School of Management and The University of Manchester - Alliance Manchester Business School
Downloads 244 (215,818)
Citation 5

Abstract:

Loading...

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

6.

Corporate Real Decisions and Seasonalities in Stock and Accounting Data

Number of pages: 53 Posted: 22 Mar 2021 Last Revised: 19 Apr 2022
Kevin Aretz, Hening Liu and Kevin Schneider
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School and University of Cambridge
Downloads 220 (238,428)

Abstract:

Loading...

Asset pricing, real options, seasonalities, dynamic operating leverage, output inventories.

7.

Early Resolution of Uncertainty: Evidence from Equity Options

Number of pages: 64 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Kevin Aretz, Hening Liu, Shuwen Yang and Yuzhao Zhang
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 206 (253,342)

Abstract:

Loading...

Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

8.

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
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and The University of Manchester - Alliance Manchester Business School
Downloads 179 (287,212)
Citation 1

Abstract:

Loading...

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

9.

Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles

Number of pages: 45 Posted: 07 Oct 2020 Last Revised: 16 Apr 2021
Sami Attaoui, Wenbin Cao, Xiaoman Duan and Hening Liu
NEOMA Business School, NEOMA Business School, Sam Houston State University - Department of General Business and Finance and The University of Manchester - Alliance Manchester Business School
Downloads 136 (360,722)

Abstract:

Loading...

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

10.

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
The University of Manchester - Alliance Manchester Business School
Downloads 136 (360,722)
Citation 3

Abstract:

Loading...

robust control, recursive preferences, portfolio choice

11.

Wealth Dynamics and Asset Prices with Heterogeneous Beliefs under Smooth Ambiguity

Number of pages: 57 Posted: 27 Apr 2022 Last Revised: 08 Sep 2023
Bo Huang and Hening Liu
The University of Manchester and The University of Manchester - Alliance Manchester Business School
Downloads 128 (377,724)

Abstract:

Loading...

Asset prices, heterogeneous agents, Kalman filter, long run risk, smooth ambiguity

12.

Measuring Ambiguity Aversion

FEDS Working Paper No. 2015-105
Number of pages: 48 Posted: 25 Nov 2015
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University, Board of Governors of the Federal Reserve System and The University of Manchester - Alliance Manchester Business School
Downloads 120 (396,486)

Abstract:

Loading...

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

13.

Estimating and Testing Long-Run Risk Models: International Evidence

Number of pages: 87 Posted: 01 Jun 2021 Last Revised: 19 Oct 2022
Andras Fulop, Junye Li, Hening Liu and Cheng Yan
ESSEC Business School, Fudan University - School of Management, The University of Manchester - Alliance Manchester Business School and University of Essex - Essex Business School
Downloads 119 (398,866)

Abstract:

Loading...

Consumption, equity premium, long run risk, stochastic discount factor, sequential Monte Carlo

14.

Does Smooth Ambiguity Matter for Asset Pricing?

International Finance Discussion Paper No. 1221
Number of pages: 83 Posted: 22 Jan 2018 Last Revised: 29 Apr 2020
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Pennsylvania State University, Board of Governors of the Federal Reserve System and The University of Manchester - Alliance Manchester Business School
Downloads 102 (445,858)
Citation 6

Abstract:

Loading...

Ambiguity, Bayesian estimation, equity premiums, Markov-switching, long-run risks

15.

Financing Innovation under Ambiguity and Skewness

Number of pages: 74 Posted: 07 Jul 2022 Last Revised: 16 Nov 2022
Wenbin Cao, Xiaoman Duan and Hening Liu
NEOMA Business School, Sam Houston State University - Department of General Business and Finance and The University of Manchester - Alliance Manchester Business School
Downloads 84 (504,888)

Abstract:

Loading...

Innovation, growth option, capital structure, jump ambiguity