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

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Rank 27,224

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Top 27,224

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3,844

TOTAL CITATIONS
Rank 19,621

SSRN RANKINGS

Top 19,621

in Total Papers Citations

47

Scholarly Papers (15)

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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 573 (98,087)
Citation 5

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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 457 (129,160)
Citation 3

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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 390 (155,268)
Citation 3

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

4.

Seasonal Inventory Leverage

Number of pages: 84 Posted: 22 Mar 2021 Last Revised: 16 Sep 2024
Kevin Aretz, Hening Liu and Kevin Schneider
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School and University of Cambridge
Downloads 314 (196,647)

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Asset pricing, real options, seasonalities, seasonal inventory leverage, output inventories.

5.

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 313 (197,348)
Citation 16

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

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, ESSEC Business School, Fudan University - School of Management and The University of Manchester - Alliance Manchester Business School
Downloads 276 (225,125)
Citation 7

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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
Kevin Aretz, Hening Liu, Shuwen Yang and Yuzhao Zhang
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School, University of Science and Technology Beijing and Rutgers, The State University of New Jersey - Department of Finance
Downloads 224 (276,685)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

8.

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
Downloads 202 (304,999)
Citation 2

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

9.

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 194 (316,578)
Citation 1

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

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 179 (340,634)
Citation 3

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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: 28 Feb 2024
Bo Huang and Hening Liu
The University of Manchester and The University of Manchester - Alliance Manchester Business School
Downloads 177 (343,959)

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

12.

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 156 (383,379)
Citation 1

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

13.

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 148 (400,563)

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

14.

Financing Innovation under Ambiguity

Number of pages: 71 Posted: 07 Jul 2022 Last Revised: 21 Oct 2024
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 134 (433,304)

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Innovation, growth option, capital structure, jump ambiguity

15.

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 107 (513,998)
Citation 6

Abstract:

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