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

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    • Tel: 858.534.2022
    • Fax: 5858.534.0745
SCHOLARLY PAPERS

27

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CITATIONS
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453

Scholarly Papers (27)

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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 9,455 (488)
Citation 4

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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 Working Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 10 Aug 2018
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 1,617 (10,203)
Citation 69

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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, 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 1,497 (11,553)
Citation 14

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noise, size effect, value effect

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 1,223 (15,876)
Citation 18

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Arbitrage, margin requirements, optimal portfolio

5.

How to Discount Cashflows with Time-Varying Expected Returns

Downloads 1,189 ( 16,534)
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 1,016 (20,602)

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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 173 (172,319)
Citation 1

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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

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

6.

Risk, Return and Dividends

Downloads 1,187 ( 16,635)
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 979 (21,768)

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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 2010
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 208 (145,299)
Citation 1

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7.

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

Downloads 1,165 ( 17,110)
Citation 12

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 1,037 (19,946)
Citation 1

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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: 27 Oct 2010
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 128 (221,641)
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 1,079 (19,231)
Citation 12

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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 1,037 (20,316)
Citation 6

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10.

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 947 (23,269)
Citation 18

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11.

Why Stocks May Disappoint

Downloads 945 ( 23,334)
Citation 60

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 798 (29,189)
Citation 4

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 05 Oct 2001
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 147 (198,124)
Citation 4

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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 638 (40,183)
Citation 1

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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 362 (81,270)
Citation 3

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momentum, optimal trading strategy, path dependence.

14.

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 351 (84,199)
Citation 11

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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 347 (85,329)
Citation 6

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16.

Debt Policy, Corporate Taxes, and Discount Rates

Downloads 328 ( 90,930)
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 278 (108,239)
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: 30 Oct 2010
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 50 (392,948)

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17.

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 317 (94,359)

Abstract:

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Information, portfolio choice

18.

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 267 (113,532)

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

19.

Conditioning Information and Variance Bounds on Pricing Kernels

Downloads 198 (153,121)
Citation 7

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 173 (173,185)
Citation 2

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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: 07 May 2000
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 25 (505,683)

Abstract:

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20.

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: 27 Oct 2010
Matthias Kahl, Jun Liu and Francis A. Longstaff
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 110 (246,899)
Citation 23

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21.

Dynamic Asset Allocation with Event Risk

Downloads 78 (308,156)

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, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 78 (311,199)
Citation 2

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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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22.

Extrapolative Asset Pricing

2019 Financial Markets & Corporate Governance Conference
Number of pages: 43 Posted: 14 Feb 2018 Last Revised: 30 Dec 2018
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 40 (422,319)

Abstract:

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

23.

Intertemporal Substitution, Precautionary Saving, and the Currency Premium

Number of pages: 26 Posted: 10 May 2018
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 19 (525,235)

Abstract:

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24.

Portfolio Selection under Time Delays: A Piecewise Dynamic Programming Approach

Number of pages: 29 Posted: 15 Feb 2017 Last Revised: 03 Dec 2018
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (525,235)
Citation 3

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Asset allocation, price delays, sufficient statistic, stochastic delay differential equations, pathwise dynamic programming method

25.

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 (605,031)
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cointegrated asset prices, optimal portfolio choice, risky arbitrage

26.

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

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27.

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

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