Jun Liu

Research Areas

Theoretical and empirical asset pricing
Econometrics

Liu''s research focuses on theoretical and empirical asset pricing, and the development and use of econometric methods.

Liu received his Ph.D. in finance from Stanford University. Prior to coming to Rady School, he served as an assistant professor at UCLA’s Anderson School of Management from 1999 to 2005.

Articles Published or Accepted

“Floating-Fixed Spreads” (with Darrell Duffie), Financial Analyst Journal, May/June, 2001.

“A Generalized Earning Model of Stock Valuation” (with Andrew Ang), Review of Accounting Studies, V6, n4, December, 2001.

“Dynamic Asset Allocation with Event Risk” (with Francis Longstaff and Jun Pan), Journal of Finance, v58, n1, 231-259, February, 2003.

“Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?” (with Matthias Kahl and Francis Longstaff), Journal of Financial Economics, v67, n3, 385-410, March 2003.

“Dynamic Derivative Strategies” (with Jun Pan), Journal of Financial Economics, v69, n3, 401-430, September, 2003.

“Conditional Information and Variance Bounds on Pricing Kernels” (with Geert Bekaert), Review of Financial Studies, v17, n2, 339-378, Summer, 2004.

“Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities” (with Francis Longstaff), Review of Financial Studies, v17, n3, 611-641, Fall, 2004.

“How to Discount Cashflows with Time-Varying Expected Returns” (with Andrew Ang), Journal of Finance, v59, n6, 2745-2783, December, 2004.

“An Equilibrium Model of Rare Event Premia” (with Jun Pan and TanWang), Review of Financial Studies, v18, n1, 131-164, Spring, 2005.

“Why Stocks May Disappoint”(with Andrew Ang and Geert Bekaert), Journal of Financial Economics, v76, n3, 471-508, June, 2005.

“The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks” (with Francis Longstaff and Ravit E. Mandell), Journal of Business,  v79, n5, 2337-2359, September, 2006.

“Portfolio Selection in Stochastic Environments”, Review of Financial Studies, v20, n1, 1-39, January, 2007.

“Risk, Return and Dividends” (with Andrew Ang), Journal of Financial Economics, v85, n1, 1-38, 2007.

“Information, Diversification, and Asset Pricing” (with Jing Liu and Jack Hughes), Accounting Review, v82, n3, 705-730, May, 2007.

“Debt Policy, Corporate Taxes, and Discount Rates” (with Mark Grinblatt), Journal of Economic Theory, v141, n1, 225-254, July 2008.

On the Relation between Expected Returns and Implied Cost of Capital (with John Huhges and Jing Liu), Review of Accounting Studies, v14, n2-3, 246-259, June/September, 2009.

Information, Expected Utility, and Portfolio Choicen” (with Ehud Peleg and Avanidhar Subrahmanyam), forthcoming, Journal of Financial and Quantitative Analysis.

Working Papers

“Can Noise Create the Size and Value Effects?”* (with Robert Arnott, Jason Hsu and Harry Markowitz)
*This online appendix contains derivation for the cases of nonzero auto-correlations.

“Density-Based Inference of Jump-Diffusion Processes” (with Jun Pan and Lasse Pedersen), revise-resubmit, Journal of Econometrics, 2002.

“Endogenous Retirement and Portfolio Choice” (with Eric Neis), working paper, 2002.