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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27,391

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364

CROSSREF CITATIONS

479

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 9,788 (973)
Citation 7

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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 2,039 (13,208)
Citation 114

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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 1,687 (17,799)
Citation 18

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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 1,329 (25,512)
Citation 48

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Arbitrage, margin requirements, optimal portfolio

5.

Risk, Return and Dividends

Downloads 1,287 (26,695)
Citation 15

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 1,024 (36,570)
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 2022
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 263 (193,148)
Citation 3

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6.

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

Downloads 1,278 (26,982)
Citation 17

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 1,096 (33,228)
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: 27 Jul 2022
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 182 (274,040)
Citation 2

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7.

How to Discount Cashflows with Time-Varying Expected Returns

Downloads 1,246 (27,933)
Citation 43

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 1,029 (36,332)
Citation 6

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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 Last Revised: 11 Dec 2022
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 217 (233,212)
Citation 10

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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

8.

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 1,173 (30,666)
Citation 31

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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 1,129 (32,408)
Citation 39

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10.

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 1,117 (32,873)
Citation 57

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information, diversification, cost of capital

11.

Why Stocks May Disappoint

Downloads 1,058 (35,447)
Citation 85

Why Stocks May Disappoint

Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 862 (46,537)
Citation 19

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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 2022
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 196 (256,242)
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 674 (65,657)
Citation 19

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expected return, implied cost of capital, discount rate

13.

Optimal Dynamic Momentum Strategies

Operations Research
Number of pages: 69 Posted: 14 Mar 2016 Last Revised: 29 Nov 2021
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 592 (77,300)
Citation 7

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momentum, optimal trading strategy, path dependence.

14.

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 386 (129,089)
Citation 7

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15.

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 384 (129,910)

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

16.

Debt Policy, Corporate Taxes, and Discount Rates

Downloads 382 (130,686)
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 305 (165,613)
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 2022
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 77 (520,124)
Citation 1

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17.

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 380 (131,470)
Citation 14

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dynamic choice, risk aversion, stochastic volatility

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 360 (139,640)

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Information, portfolio choice

19.

Extrapolative Asset Pricing

Journal of Economic Theory, Forthcoming
Number of pages: 50 Posted: 14 Feb 2018 Last Revised: 03 Apr 2023
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 237 (214,878)
Citation 1

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Return extrapolation, fundamental extrapolation, asset pricing puzzles, momentum, sentiment

20.

Conditioning Information and Variance Bounds on Pricing Kernels

Downloads 233 (218,535)
Citation 15

Conditioning Information and Variance Bounds on Pricing Kernels

Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 191 (262,400)
Citation 16

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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: 26 Oct 2022
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 42 (702,205)

Abstract:

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21.

Stochastic Expected Return, Disclosure, and Implied Cost of Capital

Number of pages: 45 Posted: 03 Sep 2021 Last Revised: 01 Feb 2023
Jun Chen, John S. Hughes, Jun Liu and Dan Yang
Chinese University of Hong Kong, University of California at Los Angeles, University of California, San Diego (UCSD) - Rady School of Management and Beijing Foreign Studies University
Downloads 183 (272,923)

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Disclosure, Implied cost of equity capital, Expected return

22.

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: 06 Jul 2022
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 140 (341,606)
Citation 19

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23.

Dynamic Asset Allocation with Event Risk

Downloads 135 (351,476)

Dynamic Asset Allocation with Event Risk

NBER Working Paper No. w9103
Number of pages: 45 Posted: 16 Aug 2002 Last Revised: 17 Nov 2022
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 135 (352,383)
Citation 22

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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 103 (428,406)

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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 65 (564,064)

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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 (985,160)
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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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