SSRN logo
Public User
Advanced Search

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

24

DOWNLOADS
Rank 872

SSRN RANKINGS

Top 872

in Total Papers Downloads

22,889

CITATIONS
Rank 739

SSRN RANKINGS

Top 739

in Total Papers Citations

692

Scholarly Papers (24)

Actions:
Email selected abstracts
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 8,977 (360)
Citation 9

Abstract:

2.

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, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Rayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,376 (9,540)
Citation 10

Abstract:

noise, size effect, value effect

3.

How to Discount Cashflows with Time-Varying Expected Returns

Downloads 1,169 ( 13,314)
Citation 34

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 1,005 (16,501)
Citation 34

Abstract:

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

How to Discount Cashflows with Time-Varying Expected Returns

NBER Working Paper No. w10042
Number of pages: 44 Posted: 27 Oct 2003
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 164 (149,569)
Citation 34

Abstract:

How to Discount Cashflows with Time-Varying Expected Returns

Journal of Finance, Vol. 59, No. 6, pp. 2745-2783
Posted: 04 Apr 2005
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

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

4.

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

AFA 2001 New Orleans; EFMA 2000 Athens; UCLA Finance Working Paper No. 9-00
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 1,158 (13,054)
Citation 78

Abstract:

Arbitrage, margin requirements, optimal portfolio

5.

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

Downloads 1,149 ( 13,730)
Citation 35

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

AFA 2002 Atlanta Meetings
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 1,023 (16,067)
Citation 33

Abstract:

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
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 126 (186,431)
Citation 35

Abstract:

6.

Risk, Return and Dividends

Downloads 1,147 ( 13,777)
Citation 14

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 957 (17,789)
Citation 14

Abstract:

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
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 190 (130,625)
Citation 14

Abstract:

7.

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 1,030 (15,623)
Citation 71

Abstract:

information, diversification, cost of capital

8.

Using Individual Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 41 Posted: 17 Mar 2008
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and University of Pennsylvania - Finance Department
Downloads 981 (13,940)
Citation 40

Abstract:

Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 954 (17,100)
Citation 58

Abstract:

10.

Why Stocks May Disappoint

Downloads 912 ( 19,504)
Citation 57

Why Stocks May Disappoint

EFA 0669
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 775 (24,303)
Citation 57

Abstract:

Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 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 137 (174,327)
Citation 57

Abstract:

11.

Corruption, Firm Governance, and the Cost of Capital

AFA 2005 Philadelphia Meetings Paper
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 728 (21,810)
Citation 10

Abstract:

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 597 (33,287)
Citation 14

Abstract:

expected return, implied cost of capital, discount rate

13.

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 Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 327 (71,580)
Citation 81

Abstract:

14.

Debt Policy, Corporate Taxes, and Discount Rates

Downloads 318 ( 76,727)
Citation 7

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 270 (91,603)
Citation 7

Abstract:

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
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 48 (336,256)
Citation 7

Abstract:

15.

Dynamic Choice and Risk Aversion

AFA 2002 Atlanta Meetings
Number of pages: 30 Posted: 13 Oct 2001
Jun Liu
University of California, San Diego (UCSD) - Rady School of Management
Downloads 311 (73,094)
Citation 10

Abstract:

dynamic choice, risk aversion, stochastic volatility

16.

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 300 (79,768)
Citation 1

Abstract:

Information, portfolio choice

17.

Conditioning Information and Variance Bounds on Pricing Kernels

Downloads 187 (132,783)
Citation 29

Conditioning Information and Variance Bounds on Pricing Kernels

AFA 2003 Washington, DC Meetings
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 167 (147,159)
Citation 29

Abstract:

Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 20 (456,300)
Citation 29

Abstract:

18.

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
Matthias Kahl, Jun Liu and Francis A. Longstaff
University of Colorado at Boulder - Leeds School of Business, University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 88 (227,861)
Citation 55

Abstract:

19.

Dynamic Asset Allocation with Event Risk

Downloads 72 (270,247)
Citation 79

Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002
Jun Liu, Jun Pan and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 72 (273,039)
Citation 79

Abstract:

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, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

20.

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 G. Timmermann
University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 6 (511,455)
Citation 1

Abstract:

cointegrated asset prices, optimal portfolio choice, risky arbitrage

21.

Optimal Dynamic Momentum Strategies

Number of pages: 45 Posted: 14 Mar 2016 Last Revised: 15 Dec 2016
Kai Li and Jun Liu
University of Technology Sydney (UTS) - Finance Discipline Group and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (111,753)

Abstract:

momentum, optimal trading strategy

22.

Correlation Ambiguity

Number of pages: 43 Posted: 20 Nov 2015 Last Revised: 16 Sep 2016
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 0 (172,851)

Abstract:

potfolio choice, under-diversification, ambiguity

23.

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:

24.

Floating-Fixed Credit Spreads

Financial Analysts Journal, Vol. 57, No. 3, May/June 2001
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

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 1.047 seconds

Relx Group logo