Jun Liu

University of California, San Diego (UCSD) - Rady School of Management

Associate Professor

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

  • University of California, San Diego (UCSD) - Rady School of Management

    • Email
    • Tel: 858.534.2022
    • Fax: 5858.534.0745
SCHOLARLY PAPERS

28

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25,813

SSRN CITATIONS
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in Total Papers Citations

266

CROSSREF CITATIONS

481

Scholarly Papers (28)

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1.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 9,615 (675)
Citation 9

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2.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 11 Aug 2020
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
Downloads 1,856 (11,161)
Citation 93

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Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss

3.

Can Noise Create Size and Value Effects?

AFA 2008 New Orleans Meetings Paper
Number of pages: 32 Posted: 10 Oct 2006 Last Revised: 26 Oct 2011
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,583 (14,306)
Citation 16

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noise, size effect, value effect

4.

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

Number of pages: 61 Posted: 11 Dec 2000
Jun Liu and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,277 (19,916)
Citation 48

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Arbitrage, margin requirements, optimal portfolio

5.

Risk, Return and Dividends

Downloads 1,212 ( 21,537)
Citation 16

Risk, Return and Dividends

Number of pages: 50 Posted: 20 Apr 2004
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 988 (28,529)
Citation 1

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risk-return trade-off, risk premium,stochastic volatility, predictability

Risk, Return and Dividends

NBER Working Paper No. w12843
Number of pages: 48 Posted: 20 Jan 2007 Last Revised: 06 Aug 2021
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 224 (171,514)
Citation 3

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6.

How to Discount Cashflows with Time-Varying Expected Returns

Downloads 1,205 ( 21,644)
Citation 41

How to Discount Cashflows with Time-Varying Expected Returns

Number of pages: 46 Posted: 31 May 2002
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,025 (27,101)
Citation 13

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present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting

NBER Working Paper No. w10042
Number of pages: 44 Posted: 27 Oct 2003 Last Revised: 15 Jun 2020
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 180 (209,956)
Citation 1

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How to Discount Cashflows with Time-Varying Expected Returns

Posted: 04 Apr 2005
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management

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present value, term structure of discount rates, time-varying beta, time-varying risk premium, capital budgeting

7.

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

Downloads 1,189 ( 22,153)
Citation 16

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

Number of pages: 44 Posted: 13 Oct 2001
Francis A. Longstaff, Jun Liu and Ravit E. Mandell
University of California, Los Angeles (UCLA) - Finance Area, University of California, San Diego (UCSD) - Rady School of Management and Salomon Smith Barney, Inc., U.S.
Downloads 1,052 (26,087)
Citation 5

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The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

NBER Working Paper No. w8990
Number of pages: 38 Posted: 13 Jun 2002 Last Revised: 26 Jul 2021
Jun Liu, Francis A. Longstaff and Ravit E. Mandell
University of California, San Diego (UCSD) - Rady School of Management, University of California, Los Angeles (UCLA) - Finance Area and Salomon Smith Barney, Inc., U.S.
Downloads 137 (264,144)
Citation 1

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8.

Information, Diversification, and Cost of Capital

AFA 2006 Boston Meetings Paper
Number of pages: 54 Posted: 07 Feb 2005
John S. Hughes, Jing Liu and Jun Liu
University of California at Los Angeles, The Cheung Kong Graduate School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,099 (24,886)
Citation 37

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information, diversification, cost of capital

9.

Dynamic Derivative Strategies

MIT Sloan Working Paper No. 4334-02
Number of pages: 33 Posted: 05 Feb 2002
Jun Liu and Jun Pan
University of California, San Diego (UCSD) - Rady School of Management and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,088 (25,249)
Citation 39

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10.

Corruption, Firm Governance, and the Cost of Capital

Number of pages: 45 Posted: 05 Jan 2005
Mark J. Garmaise and Jun Liu
University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,065 (26,015)
Citation 31

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11.

Why Stocks May Disappoint

Downloads 978 ( 29,386)
Citation 77

Why Stocks May Disappoint

Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 821 (36,975)
Citation 21

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 09 Oct 2021
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 157 (236,384)
Citation 7

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12.

On the Relation Between Expected Returns and Implied Cost of Capital

Number of pages: 24 Posted: 18 Apr 2008
John S. Hughes, Jing Liu and Jun Liu
University of California at Los Angeles, The Cheung Kong Graduate School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 648 (51,595)
Citation 11

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expected return, implied cost of capital, discount rate

13.

Optimal Dynamic Momentum Strategies

Number of pages: 51 Posted: 14 Mar 2016 Last Revised: 17 Jul 2019
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 470 (77,163)
Citation 7

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momentum, optimal trading strategy, path dependence.

14.

Dynamic Choice and Risk Aversion

Number of pages: 30 Posted: 13 Oct 2001
Jun Liu
University of California, San Diego (UCSD) - Rady School of Management
Downloads 367 (102,909)
Citation 14

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dynamic choice, risk aversion, stochastic volatility

15.

An Equilibrium Model of Rare Event Premia

MIT Sloan Working Paper No. 4370-02; AFA 2003 Washington, DC Meetings, Sauder School of Business Working Paper
Number of pages: 22 Posted: 31 May 2002
Jun Liu, Tan Wang and Jun Pan
University of California, San Diego (UCSD) - Rady School of Management, University of British Columbia (UBC) - Division of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 363 (104,209)
Citation 6

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16.

Debt Policy, Corporate Taxes, and Discount Rates

Downloads 341 (111,738)
Citation 8

Debt Policy, Corporate Taxes, and Discount Rates

UCLA Finance Working Paper No. 14-02
Number of pages: 34 Posted: 13 Jun 2003
Mark Grinblatt and Jun Liu
University of California, Los Angeles (UCLA) - Finance Area and University of California, San Diego (UCSD) - Rady School of Management
Downloads 286 (134,266)
Citation 1

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debt policy, corporate taxes, discount rates, weighted cost of capital

Debt Policy, Corporate Taxes, and Discount Rates

NBER Working Paper No. w9353
Number of pages: 35 Posted: 21 Nov 2002 Last Revised: 24 Jul 2021
Mark Grinblatt and Jun Liu
University of California, Los Angeles (UCLA) - Finance Area and University of California, San Diego (UCSD) - Rady School of Management
Downloads 55 (467,264)
Citation 1

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17.

Correlation Ambiguity and Under-Diversification

Number of pages: 48 Posted: 20 Nov 2015 Last Revised: 13 Sep 2017
Jun Liu and Xudong Zeng
University of California, San Diego (UCSD) - Rady School of Management and Shanghai University of Finance and Economics, School of Finance
Downloads 333 (114,687)

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potfolio choice, under-diversification, ambiguity, correlation, mean-variance

18.

The Value of Private Information

Number of pages: 46 Posted: 02 Jan 2005
Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam
University of California, San Diego (UCSD) - Rady School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 330 (115,824)

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Information, portfolio choice

19.

Conditioning Information and Variance Bounds on Pricing Kernels

Downloads 206 (185,948)
Citation 18

Conditioning Information and Variance Bounds on Pricing Kernels

Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 178 (212,022)
Citation 19

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Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999 Last Revised: 21 Oct 2021
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 28 (604,967)

Abstract:

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20.

Extrapolative Asset Pricing

Number of pages: 35 Posted: 14 Feb 2018 Last Revised: 02 Nov 2020
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 143 (254,495)
Citation 1

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Extrapolation, riskless rate puzzle, equity premium puzzle, excess volatility, market clearing, momentum, return predictability

21.

Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?

NBER Working Paper No. w8969
Number of pages: 34 Posted: 30 May 2002 Last Revised: 05 Jul 2021
Matthias Kahl, Jun Liu and Francis A. Longstaff
University of California, Los Angeles (UCLA) - Anderson School of Management, University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 124 (283,874)
Citation 2

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22.

Disclosure and Cost of Equity Capital Revisited

Number of pages: 40 Posted: 03 Sep 2021
Jun Chen, John S. Hughes, Jun Liu and Dan Yang
University of California, San Diego (UCSD) - Rady School of Management, University of California at Los Angeles, University of California, San Diego (UCSD) - Rady School of Management and Beijing Foreign Studies University
Downloads 120 (292,465)

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Disclosure, Implied cost of equity capital, Expected return, Textual analysis

23.

Dynamic Asset Allocation with Event Risk

Downloads 92 (347,490)

Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002 Last Revised: 30 Aug 2021
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 92 (350,299)
Citation 13

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Dynamic Asset Allocation with Event Risk

Journal of Finance, Vol. 58, pp. 231-259, 2003
Posted: 04 Nov 2003
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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24.

Limited Diversification, Portfolio Inertia, and Ambiguous Correlation

Number of pages: 56 Posted: 21 May 2020
Julia Jiang, Jun Liu, Weidong Tian and Xudong Zeng
affiliation not provided to SSRN, University of California, San Diego (UCSD) - Rady School of Management, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Shanghai University of Finance and Economics, School of Finance
Downloads 56 (456,212)

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Correlation ambiguity, portfolio choice, limited diversification, portfolio inertia

25.

Intertemporal Substitution, Precautionary Saving, and the Currency Risk Premia

Number of pages: 33 Posted: 10 May 2018 Last Revised: 19 Oct 2020
Rui Chen, Ke Du and Jun Liu
Central University of Finance and Economics (CUFE), Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 47 (492,267)

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Interest rates, exchange rates, currency risk premia, intertemporal substitution, precautionary saving

26.

Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications

CEPR Discussion Paper No. DP7188
Number of pages: 44 Posted: 11 Mar 2009
Jun Liu and Allan Timmermann
University of California, San Diego (UCSD) - Rady School of Management and UCSD
Downloads 6 (749,577)
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cointegrated asset prices, optimal portfolio choice, risky arbitrage

27.

Strategic Informed Trades, Diversification, and Expected Returns

Accounting Review, Forthcoming
Posted: 27 Feb 2012 Last Revised: 07 Jan 2015
Judson Caskey, John S. Hughes and Jun Liu
University of California, Los Angeles (UCLA) - Accounting Area, University of California at Los Angeles and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

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28.

Floating-Fixed Credit Spreads

Posted: 20 Aug 2001
Darrell Duffie and Jun Liu
Stanford University - Graduate School of Business and University of California, San Diego (UCSD) - Rady School of Management

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